Added MinGW Intro readme, touched up CMake and Visual Studio readmes. (#12485)

docs/INTRO-cmake.md

@@ -5,7 +5,12 @@ The easiest way to use SDL is to include it as a subproject in your project.
 
 We'll start by creating a simple project to build and run [hello.c](hello.c)
 
-Create the file CMakeLists.txt
+# Get a copy of the SDL source:
+```sh
+git clone https://github.com/libsdl-org/SDL.git vendored/SDL
+```
+
+# Create the file CMakeLists.txt
 ```cmake
 cmake_minimum_required(VERSION 3.16)
 project(hello)
@@ -25,24 +30,26 @@ add_executable(hello WIN32 hello.c)
 target_link_libraries(hello PRIVATE SDL3::SDL3)
 ```
 
-Build:
+# Configure and Build:
 ```sh
 cmake -S . -B build
 cmake --build build
 ```
 
-Run:
-- On Windows the executable is in the build Debug directory:
-```sh
-cd build/Debug
-./hello
-``` 
-- On other platforms the executable is in the build directory:
+# Run:
+The executable should be in the `build` directory:
+
 ```sh
 cd build
 ./hello
 ```
 
+If there wasn't an executable there despite the above Build section running successfully, it's likely because you're following this guide using the Visual Studio toolchain, it should instead be in the `build/Debug` directory:
+```sh
+cd build/Debug
+./hello
+```
+
 A more complete example is available at:
 
 https://github.com/Ravbug/sdl3-sample