Setting up SSHd
The nice folks working on GHC wrote down the necessary steps to get SSHd up on MSYS2. It's essentially the same as on Cygwin, but Cygwin has got a nice setup script, while MSYS2 does not. Read the guide on the GHC wikipage on SSHd. There's also an SSHd setup script by @samhocevar, including helpful comments.