Although this question is old, it is still asked by many who use MSYS2.
I started to use it this year to replace CygWin, and I'm getting pretty satisfied.
To install make
, open the MSYS2 shell and type the following commands:
# Update the package database and core system packages
pacman -Syu
# Close shell and open again if needed
# Update again
pacman -Su
# Install make
pacman -S make
# Test it (show version)
make -v