Docs: verify Windows/MSYS2 native build instructions

[akratch]

Goal

Verify the Windows/MSYS2 native-port setup from a clean clone and update docs/BUILDING.md with any missing package names, path notes, or troubleshooting details.

Why this matters

Windows users will test this immediately after public launch. The current docs list the expected MSYS2 MINGW64 packages, but maintainer verification is still weaker than macOS/Linux.

Suggested steps

1. Start from a clean clone on Windows with MSYS2 MINGW64.
2. Install the documented packages from docs/BUILDING.md.
3. Place a legally owned ROM locally as baserom.u.z64 or pass --rom explicitly.
4. Run these commands:

cmake -B build -DCMAKE_BUILD_TYPE=Release
cmake --build build -j
ctest --test-dir build --output-on-failure
./tools/validate_quick.sh

Acceptance criteria

• docs/BUILDING.md is updated with any corrected MSYS2 package names or setup caveats.
• If the documented commands work unchanged, add a short dated validation note instead of changing behavior.
• Include OS/MSYS2 version, compiler version, and commit tested in the PR description.

Asset rule

Do not upload or commit ROMs, extracted assets, save files, or screenshots containing game imagery. Text logs are fine.