perl -MCPAN -e'install DBI::DBD' 
perl -MCPAN -e'install DBD::mysql'

##</code><code>##

./configure --prefix=/usr/local/mysql --without-server 

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make 
make install

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By this time, you will have a beautiful set of mysql command line utilities compiled under Cygwin on /usr/local/mysql

cd .cpan/build/DBD-mysql-3.0002/ 
cp /usr/local/mysql/bin/mysql_config . 
perl Makefile.PL --testhost=127.0.0.1

(this will give you a couple of errors regarding missing header files, mysqld_error.h and possibly others. open the offending file, change the #include <file.h> to #include "file.h". The missing files are still on the My SQL? source code location and should be copied here. )