On that path, I found some points that are unclear to me.
Once you've done that, simply run: make ...
make is not found in the plain cmd. I suppose I have to run win32env.bat in msys64 first, then go to the mame folder.
Browse to folder containing solution file and open it with Visual Studio
I have no idea what a solution file is; sorry, utter newbie, as I said. Google said these are files with suffix .sln, so I searched the mame folder for such a file and got 24 of them. The one that sounds most promising, mame.sln, is located in a deep subdirectory (C:\prg\mame\build\projects\windows\mame\vs2015); is that the one to be opened?