1. Download install.exe and complete installation. It will take some time to pull up-to-date code
2. Start buildtools.bat (plain cmd) or cmder.exe (fancy console) from installed folder (by default it is C:\buildtools)
3. From time to time run update in order to update tools
4. Download MAME source

git clone https://github.com/mamedev/mame.git
Console emulator is based on Cmder, with some small changes in scripts.

For those needed offline download
Download from here : buildtools.7z (updated to Mingw 5.2.0)

For those already having GIT installed
git clone https://github.com/mamedev/buildtools
This works same as when installed with installer.

NOTE: This compile tools (as previous one) will not work on old PC's without SSE3 instructions