I'd like to propose the attached patch, which makes octave Makefile's to use $(LN_S) instead of hard-coded "ln / ln -s". The main reason is that this does not work under MSYS shell:
ln [-s] file1 file2 ... fileN directory
The patch additionally use "-9" instead of "--best" for gzip/bzip2: the version of bzip2 shipped with MSYS does not support --best. This change is minor.
Finally, it also comment one line in the "dist" target of octMakefile, because this does not work under MSYS (it does not work neither under Cygwin):