How to compile in MSYS/Windows?

I can compile sg3_utils in windows with MSYS but it seems I can't compile sdparm.

```
sdparm.c:69:10: fatal error: scsi/scsi.h: No such file or directory
   69 | #include <scsi/scsi.h>
      |          ^~~~~~~~~~~~~
compilation terminated.

```

It compiles perfectly in cygwin but I think it misses something to compile in MSYS.