These instructions, on MSYS2.

$ pacman -S git make
$ pacman -S ca-certificates  openssh
$ pacman -S perl python
$ pacman -S curl

My setup path is d:/sdk

$ cd /d/sdk
$ echo "export THEOS=/d/sdk/theos" >> ~/.bash_profile

Open a new shell so ~/.bash_profile is sourced.

$ git clone --recursive https://github.com/theos/theos.git $THEOS
$ cd $THEOS
$ git clone -b x86_64 git://github.com/coolstar/iOSToolchain4Win.git toolchain/windows/iphone