Building mintty requires gcc >=3.x for Cygwin or MSYS. It can not be 
built with a MinGW compiler, because it relies on some Unix facilities 
that are not available on plain Windows, in particular pseudo terminal 
devices (ptys).

To compile, just run 'make'. (Add a -j option as desired.)
To install, simply copy mintty.exe to an appropriate place, e.g. /bin.

See the top of the Makefile for further make targets and options.