I don't know the particulars of how Cygwin manages its shell environment, and I would have expected the XML::Parser module installation to look in /usr/local/lib by default. Just as a wild guess, you might try doing this in the shell before you try installing the module:

export LD_LIBRARY_PATH=/usr/local/lib
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That's what I would do if I was having this sort of trouble on a unix box. Whether Cygwin goes to this length in emulating unix is outside my experience.