Launchers - hvoigt/msys2 GitHub Wiki
You should not launch sh.exe directly as that doesn't start a login shell or set the correct environment variables for the type of shell that you want to use. Instead, your choices are:
msys2_shell.bat, mingw64_shell.bat and mingw32_shell.bat, the old-school batch files from the filesystem
package.
msys2.exe, mingw64.exe, mingw32.exe, the new pinnable launchers from the msys2-launcher
package from @Elieux. GitHub, discussion, discussion
msys2_env.bat from @DavidEGrayson. Gist, discussion
msys2.cmd, mingw64.cmd, mingw32.cmd from @Elieux. Gist
smart_msys from @jhasse. GitHub, discussion
MSYS2 here, MINGW64 here and MINGW32 here Explorer context menu items from @Elieux. Gist
msystem.bat and cmd/clink integration in the filesystem-cmd
package from @userzimmermann. PR, commits
git-bash.exe and start-ssh-agent.cmd as part of the Git for Windows project from @dscho. GitHub, GitHub
Open MSYS2 here from @magthe, with contributions from @sushovan-dw and @ryanpfeeley. Gist+discussion