Instructions

1. Install msys2 from www.msys2.org
2. Optional, install all possible needed things for msys2, alternatively you can install only the pieces you need:

   pacman -S --needed base-devel msys2-devel mingw-w64-i686-toolchain mingw-w64-x86_64-toolchain libreadline-devel cmake
   winpty 

3. Update your path, edit ~/.bash_profile

   PATH="${HOME}/bin:/mingw64/bin:/c/chicken-iup/bin:${PATH}"

Old Instructions

1. Install Mingw http://www.mingw.org to the default location C:\MinGW
2. Run the chicken-iup installer.
3. Log out and back in or reboot to make environment variables available to chicken. Thank you StephenE for catching this detail.