Prerequisite: Install MySQL
    Before you can build MySQL++, you need to install the
    libmysqlclient-devel package with Cygwin's setup.exe.

    In the past, you had to build MySQL from source, since
    there was no reliable place to get a binary version of the
    client library for Cygwin.  If you must still do this for
    some reason, here's a hint on how to build just the client
    library, since you probably will be running either a native
    Windows version of the server, or have the server installed
    on another machine entirely:

    $ ./configure --prefix=/usr --sysconfdir=/etc --localstatedir=/var \
        --infodir=/usr/share/info --mandir=/usr/share/man \
        --disable-shared --without-{debug,readline,libedit,server}

Building the Library and Example Programs
    Having done that, Cygwin behaves like any other Unixy system.
    See the instructions in README-Unix.txt.