THIS PAGE IS OUTDATED. mingw-get finally reached beta stage and is capable of installing all official MinGW packages, so there is no need to use setup-mingw or other wrappers. Please use mingw-get and update this page accordingly
followed by what was apparently the now outdated text.
NOTE: I did a lot of debug and still can't get the outdated instructions to work. I did get mingw-get to install but don't know what else to install to use that solution.