Here is one but I'm not proud of it :).
There is also a howto on https://wiki.geany.org/howtos/win32/msys2.
It might be easier to choose the latest CI build from https://github.com/geany/geany/actions/workflows/build.yml?query=event%3Apus... and download the installer from the artifacts section.
For further questions and comments, it'd be if you could open a new discussion or issue.