Installer tries to download direct URLs from sourceforge, but these return HTML. It appears that SF has a form of hotlink protection that requires you access the site interactively.
Example - the installer requests:
...but this URL returns status 307 and is redirected to:
...which returns a content-type of text/html (presumably the SF download page) rather than the file.
When requesting the first URL interactively with a browser, the actual file downloaded is:
Note the ts=
mingw-get-setup.exe quickly fails because it is trying to un-xz HTML rather than a valid archive. I have attached a screen shot demonstrating the errors.
(Apologies if this has been reported or I've missed something in creating this ticket; I am not familiar with this ticket system.)