The makefile searches for gmp in the following paths:
/usr/include/pbc
/usr/local/include/pbc
/usr/include
/usr/local/include
/lib/openssl-1.0.1/engine (this I appended in the INC because my libgmp.so file resides here)
/lib
And there are a loads of GMP files lying all around the cygwin64 folder. What gmp files are actually required?