Some installation instructions for msys2

[lemonsqueeze]

Hi,

Few days ago I found myself on a quest to get a working minimal caffe build on windows/msys2. I thought it was going to be easy (haha). It ended up a lot more hellish than I thought. Long story short, there are some broken packages out there and a few hard-to-dig answers on stackoverflow, and it can take a really long time for a newcomer to put it all together, especially when you don't know much about msys.

Somehow managed to work through the issues as far as my requirements are concerned and came up with this build: mingw-caffe.

I don't want to go through this again, and really don't wish it to anyone else either.
I understand msys is not in the officially supported platforms and that's perfectly fine, but a version of me from the past and i'm sure many others in a similar situation would appreciate a pointer in the installation section (also right now there's only one entry for Windows and it points to the windows branch, which is deliciously confusing).

I'm sure this can be improved, but it's much better than nothing.
If someone tells me this has already been done i kill him.