A common misunderstanding is MSYS is "UNIX on Windows", MSYS by itself does not contain a compiler or a C library, therefore does not give the ability to magically port UNIX programs over to Windows nor does it provide any UNIX specific functionality like case-sensitive filenames. Users looking for such functionality should look to Cygwin or Microsoft's Interix instead.
To build an application for MSYS (as opposed to using MSYS), users will need to install the MSYS Toolchain. It contains headers and libraries for MSYS along with a patched version of GCC and Binutils.
An example would be building a library that uses the autotools build system. Users will typically run "./configure" then "make" to build it. The configure shell script requires a shell script interpreter which is not present on Windows systems, but provided by MSYS.
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