You can build using MSYS or Cygwin but by far the easiest is WSL (Windows Subsystem for Linux) under recent versions of Windows 10. Just go to Windows Store and install Ubuntu, then install tools listed in MPY readme for Ubuntu.
Launch bash shell (type bash into Cortana or run box). It mounts your Windows C drive. I use editor and Tortoisegit on Windows and just run make in bash shell. Then I use ST's defusedemo to program the STM32 in USB bootloader mode.