I have successfully built zlib-1.2.5 under MSYS on
Running configure wont work, you do need to run the
makefile that it specifies.
Follow these steps.
1) Enter the MSYS console
2) Navigate to the zlib root directory (if you extracted
the files to /mingw/zlib-1.2.5, you must enter that directory).
3) run make -f win32/makefile.gcc
4) run make -f win32/makefile.gcc install
To run make install you need to
set the three variables to where you want things to be installed (I have
specified values assuming that /mingw is the prefix).
Hope that helps