The Windows user guide is referencing a general link to download MinGW: http://mingw-w64.org/doku.php/download For those who want to install MinGW on Windows, I thing it is simpler to give this more direct link: http://mingw-w64.org/doku.php/download/mingw-builds It avoids hesitating between different bundles (Cygwin, Msys2, Win-Builds, etc).
Then when installing mingw-w64-install.exe, a choice must be done between threads POSIX or Win32. If I understand well, POSIX must be chosen? If it is important, it should be documented in my opinion.