The MSYS2 installer can be downloaded from https://www.msys2.org.

Wireshark is available as an MSYS2 binary package[1]. It can be installed using pacman,
for example using the UCRT64 shell:

    $ pacman -S mingw-w64-ucrt-x86_64-wireshark

Instructions for building Wireshark from source code are available in
the Wireshark Developer's Guide.

References:

[1]https://packages.msys2.org/base/mingw-w64-wireshark