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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 \
--with-gsl-incdir=C:/heather/root5.16/GSL/include --with-gsl-libdir=C:/heather/root5.16/GSL/lib

A note about MathMore.. even if we enable it..  we must have the GSL library installed and tell ROOT's config where it lives, otherwise Mathmore will not be built.  Hence, MathMore has never been available in a GLAST ROOT build (actually it isn't even available in the windows binaries that ROOT-central supplies).  See:  http://root.cern.ch/cgi-bin/print_hit_bold.pl/root/roottalk/roottalk07/0343.html?mathmorevisual#first_hit

renamed cygwin's link.exe to link_cyg.exe: http://root.cern.ch/root/roottalk/roottalk06/1448.html^{Image Added}
Avoids cygwin's link app from interfering with the build

make
make cintdlls  (which seems to do nothing)
make map
make install