Make the instructions more complete by documenting all needed steps for
starting from scratch. Also add a section for MSYS2 since the Travis build
uses it as well and it's a good alternative for Cygwin. Remove the mingw32
reference since it's not readily available anymore in most Linux distros
nor compiles successfully.
This is to keep the top-level directory clean, to make it clear what is
core and what is a port, and to allow the repository to grow with new ports
in a sustainable way.