Manual is on the home page http://www.msys2.org/
pacman --needed -Syu
Update everything, install toolchain and dependencies (probably something is missing):
pacman --needed -S base-devel git \
mingw-w64-i686-toolchain \
mingw-w64-i686-cmake \
mingw-w64-i686-boost \
mingw-w64-i686-mpfr
Git clone ledger tree (master branch):
git clone https://github.com/ledger/ledger.git ledger
cd ledger
cmake -G 'MSYS Makefiles'
make
If everything went well, ledger.exe will appear in the same dir. It can be checked by running it:
./ledger
Now ledger and its dependencies can be copied to somewhere for using it outside of MSYS2 environment, for example, /c/ledger. ledger then can be used as a normal Windows application, from CMD or from GNU Emacs with ledger-mode (path expantion will work properly). In this case it's useful to add C:\ledger to PATH environment variable.
mkdir /c/ledger
cp ./ledger.exe /c/ledger
cp ./libledger.dll /c/ledger
cp /mingw32/bin/libboost_filesystem-mt.dll /c/ledger
cp /mingw32/bin/libboost_regex-mt.dll /c/ledger
cp /mingw32/bin/libboost_system-mt.dll /c/ledger
cp /mingw32/bin/libgcc_s_dw2-1.dll /c/ledger
cp /mingw32/bin/libgmp-10.dll /c/ledger
cp /mingw32/bin/libicudt64.dll /c/ledger
cp /mingw32/bin/libicuuc64.dll /c/ledger
cp /mingw32/bin/libstdc++-6.dll /c/ledger
cp /mingw32/bin/libwinpthread-1.dll /c/ledger
Some packages may be updated at some point, so the name of files might change as well (e.g. icu libs will have 59 instead of 58).
As I have mentioned earlier, MSYS shell will not work for this guide. You need to use MinGW32 shell which will build native Windows binary of ledger which will work outside of MSYS environment.
I think the correct command in your case would be:
C:\msys64\msys2_shell.cmd -mingw32