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

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

make 
make install

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

...
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 sti
+ll on the My SQL? source code location and should be copied here. )