As of yesterday, msys/mingw is no longer used to build the CVS tip of pginstaller. Instead, it builds completely using the tools of Visual Studio 2005. This includes both the actual installer, and the custom actions written in C. There is no change to the actual installer, it's still built using WiX based on the same files, and the DLLs are built from the same source code (except for a few compatibility fixes).
The build system for the pginstaller is fairly complex. Or at least, it's fairly weird. Mainly because of the need to deal with the translations, which are applied by first generating complete installers in different languages (which in turn is done by rewriting the whole source code and replacing translatable strings) and then doing a "binary diff" between them, which is finally embedded in the main installer.
The drug of choice for this rewrite is msbuild. While primarily geared for building managed code (that's Microsoft-speak for .Net code), it can be a pretty good Makefile replacement. While it can't do everything that your typical unix makefile can do (given that it can't run arbitrary commands), it has some good features for dealing with just the situation we have with our language code. Check it out - it's all in the pginstaller cvs. It's always a matter of taste which is cleaner - I personally find the msbuild code a bit more readable.
The best news is definitely that there is no need for a msys/mingw installation to build it anymore. And if it's used to create an installer for the msvc build of the backend, there's no need for msys/mingw at all anymore.