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How was your perl compiled (cygwin is not windows)? If it is windows compiled with borland or msvs, then this is what you do

If you don't have to build the 3rd party library yourself, don't do it (from what I can see in the google cache {can't connect to website}, libsvm+zip should have win32 binaries).
Don't use cygwin, it's possible to get things working, but it's very painful and requires that the resulting dll runs under cygwin.
Use mingw (with msys of course) and don't forget that you want ./configure --enable-shared --disable-static.
If you can, build libsvm natively, if you can't, build LIBSVM with mingw. Then do extra steps as needed for your linker (lib /machine:i386 /def:testdll.def -- see mingw faq).
Build Algorithm::SVM however you build your perl (mingw, bcc32, whatever) and link against your newly built libsvm.
If it works, it'll work. If it doesn't, it won't, then you have to port (not fun).
This is not a common problem when trying to get XS modules to work on windows. This is a common problem when mixing cygwin with windows compilers.

MJD says "you can't just make shit up and expect the computer to know what you mean, retardo!"
I run a Win32 PPM repository for perl 5.6.x and 5.8.x -- I take requests (README).
** The third rule of perl club is a statement of fact: pod is sexy.

In reply to Re: Compiling XS Libraries Suitable for DynaLoader on Win32 by PodMaster
in thread Compiling XS Libraries Suitable for DynaLoader on Win32 by torezodu

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MJD says "you can't just make shit up and expect the computer to know what you mean, retardo!"
I run a Win32 PPM repository for perl 5.6.x and 5.8.x -- I take requests (README).
** The third rule of perl club is a statement of fact: pod is sexy.