This is what [Norman Vine <nhv@cape.com>] recommends for general
Cygwin development.

Note: This will be a Unix like system and not a Windows IDE It is
expected that the user is comfortable using a unix development
environment, the gnu gcc compiler, and its asociated tools.
Alternatively if you don't mind typing commands from a command line
and reading instrunctions you should have a very good chance of
success.

1) Latest Cygwin release

   Install the Cygwin toolkit by clicking on the "Install Cygwin Now"
   link at http://www.cygwin.com

2) Building from source

   Follow the instructions for building on Linux.

   <Note> 
   Your OpenGl libraries will be automatically installed
   and you can ignore that section of the Linux readme.

Any additional questions can be directed to Norman Vine <nhv@cape.com>
since he thinks this terse document is all you'll need. :-)