WILL: simply ignore it. fpcmake.inc is used to build fpcmake.exe, fpcmade.i386-win32 is a flag-file indicating that fpcmake is built. The directory you say contains the object files created in building time.
Regarding MSYS, an alternative could be cygwin, but the package is much more heavy and not so simple to use. Another is to use a dos shell, but you could have some conflicts between gnu make and inprise make, if you have delphi installed.

{MSX}: GBA have 2 asm instruction set, ARM (32 bit) and THUMB (16 bit). The THUMB instructions set is more fast, but at this time fpc can handle ARM only. I don't have a GBA too, but an emulator is enough. Visual Boy Advance is open source and is compiled for several platforms, linux included (of course ).