well I have never installed MingW with an installer from MingW itself.
I had it coming on my system twice : the first time with dev-cpp installer, and with Code::Blocks installer.
But the manual install is so much nicer, it is just unzipping, you can really trust it, no registry settings behind your back, you are in full control (well the gdb is with an installer). Really it is worth the effort.
It sounds cumbersome, but once you've done it you'll look back at it, and think, hey that's all. ;-)
[EDIT] : oh oh oh, did I mention the powerfull uninstall, no minutes waiting on add/remove programs, you can just delete the MingW directory and that's it. ;-)