This post has a great step-by-step for compiling and installing openLDAP on Cygwin. Thanks Shane!
Make sure that you have gcc installed in Cygwin. Also, if you have only installed gcc4, you will need to create a symlink to /usr/bin/gcc for the configure script to find it.
ln -s /usr/bin/gcc-4 /usr/bin/gcc
With a little side of applesauce...
©2006 Shannon Eric Peevey