Welcome, Google users from the future! Since I wrote this answer, the GTK+ website now has official installation instructions that cover what I said below but with more details and less pain. Refer to that page instead. The answer below has been kept for historical reasons.
The problem with the GTK+ website is that there is no one to maintain these binary distributions. The previous binary distribution for Windows was for GTK+ 3.6, which was released I believe way back in 2012, if not earlier. The current version is 3.16, and 3.18 is literally days away from being released. MSYS2 is the only supported installation mechanism, and it’s updated frequently enough.
That being said, you need to install GTK+ separately if you use the MSYS route; MSYS doesn’t come with GTK+ out of the box. Start with
pacman -Ss gtk3
That should give you a list of possible packages to install, including the GTK+ libraries for both 32-bit and 64-bit MinGW. I forget their exact names now.
Once you find the one you want, use
pacman -S package-name-here
to install it. Then, open the MinGW 32-bit or 64-bit Shell from the Start menu’s MSYS folder to begin developing.
If you want a traditional IDE for GTK+ programming, look up GNOME Builder or Anjuta. For a graphical GUI designer, look up Glade.