What is your perl -V? MSYS is not windows, so don't confuse the two.

Windows

C:\>echo C:\Perl\bin\perl.exe
C:\Perl\bin\perl.exe

C:\>
[download]

MSYS

user@host ~
$ echo C:\Perl\bin\perl.exe
C:Perlbinperl.exe

user@host ~
$
[download]