If one has installed CMake for native Windows AND has not installed CMake in Cygwin, Cygwin will try to use the Windows CMake, which will not work properly. The solution is to install CMake in Cygwin to properly use CMake from Cygwin.
- install CMake prereqs, from Windows Command Prompt:
setup-x86_64.exe -P gcc-g++ make ncurses-devel openssl-devel
- run cmake_setup.sh from Cygwin