README.win32 file contains some extra notes about how to take this
approach.
+Note that in this case, any library dependencies you install must be
+built without linking against the cygwin.dll library. You can cause
+cygwin to build native libraries without linking against cygwin.dll
+by passing the '-mno-cygwin' flag to the compiler. For example, to
+build cryptopp this way you can use the command
+ CXX='g++ -mno-cygwin' make
+
OPTION 3: OTHER BUILD TOOLS
The third-easiest way is to use a Microsoft compiler or some other