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Start cygwin via the command line: bash --login -i
At the cygwin prompt, changed directories to the %ROOTSYS% dir and then ran configure:
./configure win32gdk --enable-roofit --enable-minuit2 --enable-table \
--enable-python --disable-odbc --enable-gdml \
--enable-unuran --enable-xrootd \
--with-fftw3-incdir=C:/heather/root-5.14d/fftw-3.1.2-dll \
--with-fftw3-libdir=C:/heather/root-5.14d/fftw-3.1.2-dll \
--with-gccxml=C:/heather/root-5.14d/gcc_xml \
--with-xml-incdir=C:/heather/root-5.14d/libxml2-2.6.15.win32/include \
--with-xml-libdir=C:/heather/root-5.14d/libxml2-2.6.15.win32/lib \
--with-python-libdir=C:/Python25/libs \
--with-python-incdir=C:/Python25/include --enable-mathmore