Look into your /C/MinGW/msys/1.0/bin/
for mkdir.exe
.
if you found it there, you have not set your path environment variable
to that folder.
C:\MinGW\msys\1.0\bin;C:\MinGW\bin;
So add it at the first place.
I apologize for the somewhat atypical picture. Binn currently working on a win2000 computer and can not switch.