Get MinGW-5.1.3 exe, MSYS-1.0.10.exe, w32api-3.8.tar.gz, binutils-2.17.50-20060824-1.tar.gz and install them (this may not be a comprehensive list but start with MinGW and execute the install package and try to add gcc etc. - the tar packages you just unpack to c:\mingw). Then open MSYS prompt, go to the dir where you unpacked GDAL, and issue commands:

./configure
make
make install

And you should have libgdal-1.dll in your c:\msys\1.0\local\bin and libgdal-1.dll.a in c:\msys\1.0\local\lib.