You will most likely of missed installing one of the required extra packages listed when installing Cygwin.
Run the Cygwin installer again to install over your existing installation.
On the packages window with the search box and drop down lists - search for each of the packages listed in bold.
You need to select multiple tick boxes for some of the listed packages.
If your not sure if you need a package in the listed category, just tick the box to install it anyway.
I double-checked but I've installed every package listed here at the first time :/
I'm experiencing the same error, I'm using windows 7 64bit
Full package list for Search Packages > tick boxes.
gcc-g++: GNU Compiler Collection (C++)
mingw-gcc-g++: GNU Compiler Collection (C++)
mingw64-x86_64-gcc-g++: GCC for Win64 toolchain (C++)
libcurl-devel: Multi-protocol file transfer library (development)
automake: Wrapper scripts for automake and alocal
automake 1.x: (1.x) a tool for generating GNU-compliant Make files
make: The GNU version of the 'make' utility
unzip: Info-ZIP decompression utility
wget: Utility to retrieve files from the WWW via HTTP and FTP
git: Distributed version control system
openssl-devel: A general purpose cryptography toolkit with TLS implementation (development)
...
I've just built the miner on a 2nd x64 PC following my own instructions and it compiled OK.