A Note about Make Errors
With the latest version of Cygwin and its associated packages you may encounter errors with make commands. You may be able to fix these errors simply by powering through; if make gives an error, run make again. If it doesn't halt again in the same place, you can likely proceed without worry.
You may also encounter errors with the bootstrap command used to compile OpenOCD below. Try running bootstrap again. If it passes the point where it previously halted everything is most likely fine.