This information is provided by Andreas Madritsch.
One must set up two development environments:
After compiling zlib, libpng and libintl one should simply copy all the headers and libraries from MinGW to the corresponding mingw directories of the Cygwin installation. One also has to download gettext from MinGW and the DirectX headers from Microsoft. To build the help file the RTF2HLP utility must be used and, in addition the Help Workshop from Microsoft.