1. Why don't you install prebuilt GMP from
pacman? 2. That MSYS in the terminal prompt means you're using the wrong environment, read What are MSYS2 environments? How do I pick one?. 3. System-wide PATH has no effect on MSYS2 by default (and trying to modify PATH inside of msys2 to point to /mingw64/bin or whatever is a sign of not running it correctly, see the previous link).