Guidelines for using CMake on MSYS2

[eine]

From msys2/setup-msys2#149

When building for mingw with CMake, one has to take care to install the mingw version, not msys version, of CMake, i.e. the one prefixed with mingw-w64-*.

• When building with CMake on Windows for mingw targets, one has to set a a choice of generator with -G; the default is NMake, which looks for the installed MSVC compilers instead. You can choose between Ninja (install ${{matrix.prefix}}-ninja; the build uses the command ninja), MinGW Makefiles (install ${{matrix.prefix}}-make, the build uses mingw32-make) or MSYS Makefiles (install make, and the build uses the plain make command).

/cc @mstorsjo