I found out there is a bug in some Perl 5.8.0 distributions, in which it makes wrong makefiles:

http://bugzilla.redhat.com/bugzilla/show_bug.cgi?id=87682

Opened by rhn@taner.net (Taner Halicioglu) on 2003-04-01 02:48 
  Description of problem:
  The perl (5.8.0) that is included w/ RH 9 is severely broken 
  in the sense that it cannot correctly build Makefiles.
[download]

I see you are using 5.006001. I don't know if this applies to you.

Update: Ok, I found it - looks like it might be a Cygwin MakeMaker bug:

http://archive.develooper.com/perl5-porters@perl.org/msg83496.html