I've just installed MinGW with "mingw-get-setup", and I selected these packages in the installation wizard:
Now, from a bash session, I see that the "bsdtar" utility is installed:
$ type bsdtar
bsdtar is /bin/bsdtar
but when I try to execute it (without arguments) I see a popup window with the error message "The program can't start because msys-lzma-1.dll is missing from your computer. Try reinstalling the program to fix this problem."