Just wanted to reply so that anyone searching will have some idea of how to approach this problem.
I couldn't figure out how to get MSYS, which I already had installed, to install Lilypond, so I installed Ubuntu for Windows. Lilypond was fairly easy to install from the Lilypond website. Frescobaldi was more difficult. I couldn't imagine a way to get the Windows version of Frescobaldi to use the Ubuntu version of Lilypond for rendering. I installed Frescobaldi in Ubuntu, next. What I eventually discovered was that I needed to install an X server in Windows that Ubuntu could use. I didn't install it through Ubuntu. Instead, I downloaded Xming Server.
https://sourceforge.net/projects/xming/ It works like a charm.
If I want to get MIDI playback in Frescobaldi, I'll have to do more work. One can always locate the folder where the files are generated and open the MIDI file in a Windows program.
Sam