Ar windowsreviews

As you found out, if you are managing the tools through Chocolatey, choco install mingw will set up the basic MinGW development toolchain, which includes GCC.

Andersenwindows

I'm trying to use cabal on windows (installed using chocolatey), and it is looking for "ar", which is a GNU utility, and I have no idea how to install that.

You might need to install GCC, which, as far as I can tell by looking at the MSYS2 setup on my machine, doesn't seem to come with the initial MSYS2 install. That would be done through pacman, on the MSYS shell (see the MSYS2 wiki for a primer on the MSYS2 shells and subsystems):