That guide is quite a bit out of date, actually (along with pretty much every guide you're going to find online).
From the error you've posted though, it seems like you didn't install the Cygwin native development tools, so you can't actually build anything. You'll need to fix that before you can build anything, so you should use the Cygwin installer to install the development tools (GCC and such), which will allow you to build things for Cygwin itself.
Since you're on Windows, you might want to try out the DC Dev ISO (I've never used it, since I'm not on Windows, but many people have used it successfully). You can get that from here: http://dcemulation.org/phpBB/viewtopic.php?f=29&t=96802 .
Good luck.
Bookmarks