Okay, the good news is: I got autoconf working by re-installing MSYS with the official MSYS installer.
The bad news is that the configure script it produces is broken. At one point it uses some PKG_PROG_PKG_CONFIG variable that nowhere has been define before
Had to hack configure.ac as well as Makefile.am to finally convince that ... to give me a Makefile. But now I am set up, I think, finally!