I determined that XP doesn't let you use forward slashes interchangeably with backward slashes
You are mistaken. Not only Perl but the actual OS supports "/" as a separator.
C:\Temp>echo foo >foo.txt
C:\Temp>perl -e"open my $fh, '<', $ARGV[0] or die $!; print <$fh>;" c:
+\temp\foo.txt
foo
C:\Temp>perl -e"open my $fh, '<', $ARGV[0] or die $!; print <$fh>;" c:
+/temp/foo.txt
foo
I'm on WinXP. I'm not using cygwin, however. And I don't know how cygwin sees the file system, but I quick lookaround indicates /cygwin/c/Perl/site/lib/Chess/PGN/db/ECO should work.