First, you need to head to https://www.msys2.org/ and install MSYS2.
When selecting your installation folder, make sure you have this path there.
Then simply proceed with the install.
Once it's done installing, you need to find and open MSYS2 MSYS.
Once it's open you should see a window like this:
Go in that window, and paste this command:
pacman -S mingw-w64-x86_64-binutils
Press Y on this prompt:
Then, once that is done, you can close that window.
From there, CMake should automatically locate the dependency it needs,
and your setup for the dependencies are ready!
You may need to reload cmake twice before building for the first time to get cmake to build SDL2 (sound lib) correctly.