David, you're right. I just realized propsys.h is in the /include folder of MinGw, not the one of Msys, sorry.
By the way, I was able to link the library after downloading it from here:
Thank you for your help and I hope my fix can help others on the same topic. THANKS!
C:\msys64\mingw64\binand run the program, but why aren't all the programs in that folder in the PATH? Is it a good practice to add that folder to the PATH?