As of version 1.0.10 of MSYS, a fix is needed for the MSYS shell to start properly on Windows x64.

Locate the msys.bat file in the MSYS installation directory (by default c:\msys\1.0), and open it up in a text editor.

Right after the :_WindowsNT label (line 36). Paste the following code:

if not "x%PROCESSOR_ARCHITECTURE%" == "xAMD64" goto _NotX64
set COMSPEC=%WINDIR%\SysWOW64\cmd.exe
%COMSPEC% /c %0 %1 %2 %3 %4 %5 %6 %7 %8 %9
goto EOF
:_NotX64

The MSYS shell should now be functional.