I decided to try CLion for Windows, which recommends either MinGW or Cygwin for compilation.
I installed the MSYS2 package manager into the default folder, C:\\msy
No, MSYS2 does not directly support installing old versions of packages. Here are some things you can do though:
pacman -U filename.tar.xz
GCC is one of the harder packages to build and work with so it might be difficult for you to compile it from source. Also beware that the C++ ABI changed between GCC 4 and 5 or something like that, so binaries you build with the old GCC might not work with any of the MSYS2 C++ shared libraries compiled with GCC 5.