I was following the instructions found at: 
http://mplab.ucsd.edu/~ting/notes/ros/ros-cygwin.html 
I got the point where I build: rosmake rostest --rosdep-install 
--rosdep-yes

When I do this, eventually the window says:

Installing zlib
Package zlib not found or ambiguous name, exiting
[ rosmake ] rosdep successfully installed all system dependencies
[ rosmake ] Prebuilding rospack
[ rosmake ] Prebuilding gtest
Failed to build gtest


Any help for how I get past this would be great.  Thanks!