msysGit is the development environment to compile Git for Windows. It is complete, in the sense that you just need to install msysGit, and then you can build Git. Without installing any 3rd-party software.
msysGit is not Git for Windows; that is an installer which installs Git -- and only Git.
It is easy to see the difference: the installers for Git have the prefix Git-, the msysGit installers have the prefix msysGit-. Another telltale is that the msysGit installers come in two flavors: fullinstall and netinstall. Further, msysGit does not install to C:\Program Files by default. But msysGit comes with gcc, the GNU C Compiler.
Please see WorkingOnMsysGit.
Note: this is not the preferred way, as it does not set up the repositories for msysGit and git, and does not fetch the histories from repo.or.cz. However, some people cannot freely access the internet, not even with an HTTP proxy. If this applies to you, this is the installer we intended for you. In the olden days of this project, it was the only available package, "msysGit", originally not even an installer, but a 48MB zip file!
This will initialize a git repository in /.git, and update your complete msysGit to the current version.
So you installed msysGit, but closed the window, and cannot find a way to restart it? No need to fear, just execute "msys.bat" in the directory you installed to.
To make it more convenient, you can install a QuickLaunch shortcut with "/share/msysGit/add-shortcut.tcl".
Please refer to UpdatingMSysGit.