"Msys is just a native compiled bash plus some other native compiled gnu tools. . . . The point is there is a minimal posix-style command line environment that should just be enough to run configure scripts. Unlike cygwin which gives you a full linux-style command line and runtime environment. . . . It's a minimal cygwin. . . . The main issue is that the configure result is suitable for mingw gcc to generate native compiled binaries."
http://www.mingw.org/msys.shtml
What is MSYS? from the site
MinGW ("Minimalistic GNU for Windows") refers to a set of runtime headers, used in building a compiler system based on the GNU GCC and binutils projects. It compiles and links code to be run on Win32 platforms... providing C, C++ and Fortran compilers plus other related tools. If you see references to "mingw32" instead of "MinGW", they are referring to the same compiler system. The project's name changed from mingw32 to MinGW is to prevent the implication that MinGW will only works on 32 bit systems (as 64 and higher bit machines become more common, MinGW will evolve to work with them). MinGW uses the Microsoft runtime libraries, distributed with the Windows operating system. Unlike other ports of GCC to Windows, the runtime libraries are not distributed using Gnu's General Public License (GPL). You, therefore, do not have to distribute your source code with your programs unless, of course, you use a GPL library in your programs.
Check out the project history for the interesting story of How MinGW Began: http://www.mingw.org/history.shtml .