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.
I think it's "nmake" what the author meant. Should be changed in the wiki I suppose.
No, it's not nmake - you need to have gnu make in your path. The make command generates the solution and project files for Visual Studio. Once you've done that, you can open the solution in Visual Studio or build it with msbuild. We don't use nmake.