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Generally, the process of building of GCC Dependencies in the MinGW VM is very similar to the same process in the Cygwin VM.

1. Update C:\MinGW\msys\1.0\opt\crosstool\src\build_gcc_cross.sh :

   #!/bin/bash
   cd /opt/crosstool/src/build-gmp
   ../gmp-5.0.1/configure --disable-shared --enable-static
   if [ "$?" -ne "0" ]; then
       echo "=== build script: failed to configure libgmp ==="
       exit 1
   fi
   make
   if [ "$?" -ne "0" ]; then
       echo "=== build script: failed to make libgmp ==="
       exit 1
   fi
   make check
   if [ "$?" -ne "0" ]; then
       echo "=== build script: failed to check libgmp ==="
       exit 1
   fi
   make install
   if [ "$?" -ne "0" ]; then
       echo "=== build script: failed to install libgmp ==="
       exit 1
   fi
   
   cd /opt/crosstool/src/build-mpfr
   ../mpfr-3.0.1/configure --with-gmp=/usr/local
   if [ "$?" -ne "0" ]; then
       echo "=== build script: failed to configure libmpfr ==="
       exit 1
   fi
   make
   if [ "$?" -ne "0" ]; then
       echo "=== build script: failed to make libmpfr ==="
       exit 1
   fi
   make check
   if [ "$?" -ne "0" ]; then
       echo "=== build script: failed to check libmpfr ==="
       exit 1
   fi
   make install
   if [ "$?" -ne "0" ]; then
       echo "=== build script: failed to install libmpfr ==="
       exit 1
   fi
   
   cd /opt/crosstool/src/build-mpc
   ../mpc-0.9/configure --with-gmp=/usr/local
   if [ "$?" -ne "0" ]; then
       echo "=== build script: failed to configure libmpc ==="
       exit 1
   fi
   make
   if [ "$?" -ne "0" ]; then
       echo "=== build script: failed to make libmpc ==="
       exit 1
   fi
   make check
   if [ "$?" -ne "0" ]; then
       echo "=== build script: failed to check libmpc ==="
       exit 1
   fi
   make install
   if [ "$?" -ne "0" ]; then
       echo "=== build script: failed to install libmpc ==="
       exit 1
   fi
   
   echo "=== build script: OK ==="
   

2. You may need to reapply dos2unix to build_gcc_cross.sh if your text editor does not preserve DOS/Unix line endings.
3. Run C:\MinGW\msys\1.0\opt\crosstool\src\build_gcc_cross.cmd and wait until it completes.
4. If there are no errors, shutdown MinGW VM and make snapshot "SNAP-C".

>> Read next section or buy already prepared cross-compiler (€10) to save your time.