Install the MinGW-w64 toolchain on Windows

download the latest installer from the MSYS2 page
In the terminal, install the MinGW-w64 toolchain by running the following command:

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pacman -S --needed base-devel mingw-w64-ucrt-x86_64-toolchain
pacman -S --needed base-devel mingw-w64-ucrt-x86_64-toolchain
pacman -S --needed base-devel mingw-w64-ucrt-x86_64-toolchain

Add the path to your MinGW-w64 bin folder to the Windows PATH environment

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C:\msys64\ucrt64\bin
C:\msys64\ucrt64\bin
C:\msys64\ucrt64\bin

References
https://code.visualstudio.com/docs/cpp/config-mingw