Just thinking about some recent cygwin-perl quirks..

Is it possible that you could have a shares/permissions problem?
Does it persist if you use /cygdrive/C/cygwin/usr/lib pathname format?
Possibly the make script is not resolving -L/usr/local/lib correctly?

By the way was that you or did someone else have the same problem? I see the CPAN page does note cygwin fails. Strange the Changelog says it works on *all* perl versions, a year ago. My Activestate bad?

Sorry I can't be of more help. Usually on linux. (/me nukes linux laptop by trying to install redhat base onto a suse layout)