I have just found the solution to this problem on the NetBeans forums here:

http://forums.netbeans.org/topic54884.html

All you need to do is:

1. Go to C:\MinGW\bin and make a copy of mingw32-make.exe. Then rename it to make.exe

2. Now go to C:\MinGW\msys\1.0\bin and rename make.exe to makeOLD.exe (just in case)

3. Then move your new make.exe into C:\MinGW\msys\1.0\bin.

You may have to restart NetBeans, but you should find you can now compile and build!

I would love to know how this suddenly became a problem. If anyone finds out, please let us know. I have seen a suggestion that updating from Java JDK1.7.0_17 to JDK1.7.0_21 breaks the C++ compilation, but how that could happen is beyond me.

New MSYS2 finally has proxy capabilites

The new MSYS2 now uses pacman, the package manager from the arch linux project, to manage both msys and mingw packages. Pacman is capable of using authenticated http(s) proxies, see this article in the Arch Linux wiki for more information.
I added the following lines to \msys64\etc\profile:

# proxy settings
export HTTP_PROXY="username:password@proxy.server.address:port"
export HTTPS_PROXY=$HTTP_PROXY
export http_proxy=$HTTP_PROXY
export https_proxy=$HTTP_PROXY

and I can now finally install and update minGW and msys packages using pacman through the authenticated http(s) proxy here.