Compiling fish shell under MSYS?

Question

I found this post Compiling fish shell under Cygwin? which talks about compiling fish against Cygwin.

What would be the instructions to compile for MSYS? (and especially MSYSGIT)?

This is what I did

1. install msysgit-netInstall https://code.google.com/p/msysgit/downloads/detail?name=msysGit-netinstall-1.8.4-preview20130916.exe&can=2&q=
2. install autoconf from http://sourceforge.net/projects/mingw/files/MSYS/msysdev/autoconf/autoconf-2.68-1/autoconf-2.68-1-msys-1.0.17-bin.tar.lzma/download
3. clone the fish repo
4. run autoconf
5. run ./configure

the process fails with

$ ./configure
checking if autoconf needs to be run... no
checking if autoheader needs to be run... no
checking for g++... g++
checking whether the C++ compiler works... yes
checking for C++ compiler default output file name... a.exe
checking for suffix of executables... .exe
checking whether we are cross compiling... no
checking for suffix of object files... o
checking whether we are using the GNU C++ compiler... yes
checking whether g++ accepts -g... yes
checking for a BSD-compatible install... /bin/install -c
CXXFLAGS: -g -O2
checking for /usr/pkg/include include directory... no
checking for /usr/pkg/lib library directory... no
checking for /usr/pkg/bin command directory... no
checking for /sw/include include directory... no
checking for /sw/lib library directory... no
checking for /sw/bin command directory... no
checking for /opt/include include directory... no
checking for /opt/lib library directory... no
checking for /opt/bin command directory... no
checking for /opt/local/include include directory... no
checking for /opt/local/lib library directory... no
checking for /opt/local/bin command directory... no
checking for /usr/local/include include directory... no
checking for /usr/local/lib library directory... no
checking for /usr/local/bin command directory... no
checking for msgfmt... msgfmt
checking for doxygen... no
checking if we are compiling against glibc... no
checking build system type... i686-pc-mingw32
checking host system type... i686-pc-mingw32
checking target system type... i686-pc-mingw32
checking if we are under Solaris... no
checking if we are using non varargs tparm.... yes
checking if we are under BSD... no
checking for /proc/self/stat... no
checking for library containing connect... no
configure: error: Cannot find the socket library, needed to build this package.

Any idea?