Install msys2 (http://www.msys2.org/)

Install the required prerequisites for Vala

pacman -S mingw64/mingw-w64-x86_64-gcc
pacman -S mingw64/mingw-w64-x86_64-pkg-config
pacman -S mingw64/mingw-w64-x86_64-vala

and all the additional packages your code requires, i.e.

pacman -S mingw64/mingw-w64-x86_64-libgee
...

Launch the correct msys2 shell

C:\msys64\mingw64.exe

Check the MSYSTEM and PKG_CONFIG_PATH environment variables

$ echo $MSYSTEM
MINGW64

$ echo $PKG_CONFIG_PATH
/mingw64/lib/pkgconfig:/mingw64/share/pkgconfig

Run valac as usual, but make sure to always work in the correct environment (see steps 3 and 4)

For example let's build the first GeeSample here:

$ valac gee-list.vala --pkg gee-0.8