I apologize if this is a duplicate bug.
I spent over 20 minutes wondering why I couldn't use MinGW. Finally it dawned on me.
The download of the files with mingw-get failed because I am behind a corporate firewall/proxy that requires authentication. EVERYTHING that wants to connect to the internet needs to authenticate to the proxy. All the browsers pop up an authentication window so I can put in my creds.
The problem is that the mingw-get window's messages flew by so fast that I couldn't see what was said. Then, the shell window just went away and I couldn't scroll up to see the errors.
I was able to connect to a different network to download the proper file, but it would have been nice to know that I needed to 20 minutes ago.