I had similar problem as Pietro,
I am on Window 10 and using "Git Bash". I tried to execute >>cmake -G "MinGW Makefiles", but I got the same error as Pietro.
Then, I tried >>cmake -G "MSYS Makefiles", but realized that I need to set my environment correctly.
Make sure set a path to C:\MinGW\msys\1.0\bin and check if you have gcc.exe there. If gcc.exe is not there then you have to run C:/MinGW/bin/mingw-get.exe and install gcc from MSYS.
After that it works fine for me