Go to this url ==> http://www.mingw.org/wiki/Getting_Started
Click the link that says "Download and run the latest mingw-get-inst version."
Download and run the latest file.
 Install MinGW in the default directory.
(I downloaded the one labeled "mingw-get-inst-20120426" - note that this could
be a different version later.)
Make sure to check the option for "Download latest repository catalogs".
I selected all the check boxes (excluding "Fortran Compiler") so that everything
was installed.

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* Run the MSYS shell for the first time to create your user directory                *
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(Start Icon/keyboard key ==> All Programs ==> MinGW ==> MinGW Shell).
This will create your user directory for you.

I down loaded the latest one and followed the instructions above.
Now here do I find the MinGW shell to run

I think I found it, just had to reread the instructions again.