[CI] Add build shards to mingw-w64 workflow (#15344)

Co-authored-by: Julien Portalier <julien@portalier.com>

.github/workflows/mingw-w64.yml

@@ -60,6 +60,7 @@ jobs:
             mingw-w64-ucrt-x86_64-zlib
             mingw-w64-ucrt-x86_64-llvm
             mingw-w64-ucrt-x86_64-libffi
+            mingw-w64-ucrt-x86_64-libyaml
 
       - name: Disable CRLF line ending substitution
         run: |
@@ -87,6 +88,23 @@ jobs:
         run: |
           make install install_dlls deref_symlinks=1 PREFIX="$(pwd)/crystal"
 
+      - name: Download shards release
+        uses: actions/checkout@v4
+        with:
+          repository: crystal-lang/shards
+          ref: v0.19.0
+          path: shards
+
+      - name: Build shards release
+        shell: msys2 {0}
+        working-directory: ./shards
+        run: make CRYSTAL=$(pwd)/../crystal/bin/crystal SHARDS=false release=1
+
+      - name: Package Shards
+        shell: msys2 {0}
+        run: |
+          make install PREFIX="$(pwd)/../crystal"
+
       - name: Upload Crystal executable
         uses: actions/upload-artifact@v4
         with: