rxvt works, but it's odd ... I don't have any paths set, just running it from my download dir where I unpacked it ( C:\DL\msys\bin )
look at this output ...
funny thing is I don't have a /usr/bin - or rather, \usr\bin :-)
It also seg faulted the first time I clicked into the term window... cute but not ready for prime time, I'd say... worth noodling with however.