When using the Configure script for installation on Windows, there're several settings which should be corrected:
a) Configure proposes a wrong path format (UNIX format) as default choices
   for paths (G4INSTALL, data, etc...).
   Windows format should be displayed and used instead. i.e.
     [/mypath/geant4] should be instead [c:/cygwin/mypath/geant4]
b) When setting $PATH or $LD_LIBRARY_PATH the UNIX style should be used instead!
c) I would suggest to add the following in env.[c]sh scripts:
     export CYGWIN=nodosfilewarning
   to avoid stupid warnings from recent versions of CygWin ...
d) When choosing a build of DLLs, the following paths (in UNIX format!)
   must be added to $PATH:
     $G4BIN/$G4SYSTEM
     $G4LIB/$G4SYSTEM
e) Similarly, paths to CLHEP and XercesC libraries (with UNIX format as above)
   must be added to $PATH, in order to pick up DLLs installed there (these are
   now set for $LD_LIBRARY_PATH - which on Windows is useless - in Windows
   format)
f) Finally, when building DLLs, G4LIB_USE_DLL should be set from env.[c]sh
   scripts in the environment for building the applications.