what are you trying to install? does this happen in all apps? is it always the same error?
it looks like the app you are trying to build has configured itself incorrectly (or is not familiar with the cygwin environment). this is not uncommon. i've found that the cygwin has some strange interpretations of various common functions.
im trying to install pkgconfig so that i can install glib 2.2.1. sites that i have looked at and the readme sez that it should install right outta the box under cygwin