The DLL-creation problem has been solved with PAR 0.66, but Cygwin's executable format doesn't seem to like arbitary data appended to it (altough a self-contained script made with 'par.pl' plus a 'perl.exe' works well); I'm working with the list and Mattia to find a solution. (See related discussions.)

Meanwhile, MSYS+MinGW might be your best bet, and PAR is known to run well on that platform.