QMK toolbox doesn’t look like it provides anything one needs for flashing RP2040 chips.
QMK_MSYS, since I’m not on windows, I’m not certain. It looks like it just helps setup your build environment and also provides a command line terminal, where you should be able to enter the compile and / or flash commands.
Can you run
qmk doctor
in the QMK_MSYS window? If everything is good it will end with “QMK is ready to go”.