It sounds like you should install the 'make' package (found under the 'Devel' category from the Cygwin installer tool). You may also need to install other items from the Devel category, such as 'autotools', 'binutils', and 'bison' (among others), and, depending on the module you are trying to install, other libraries as well.

I did find a few tutorials by searching for cygwin compiling tutorial or cygwin compiling, which may be of use/interest to you. (This one looked especially interesting, at least to me.)

Hope that helps.