Looking at
http://osdir.com/ml/lang.perl.quality-assurance/2008-11/msg00035.html, it seems you might have come up against a permissions issue. I don't know how that has impacted upon your PDL installation, nor do I know what to do about it. It's likely that you have a functional PDL, though there could be something missing. Start with
perl -MPDL -le 'print $PDL::VERSION' If that prints out
2.4.6, things are looking promising. Then check to see that entering
perldl puts you into the perldl shell (ie gives you a
perldl> prompt). Others would be better able to advise on how to do more extensive testing. (I guess you could run the test scripts and check that they perform correctly.)
If you want to do any graphics stuff with PDL, OpenGL seems to be the best way to go. You should seek help with that on the PDL mailing list as the main OpenGL developer is subscribed there. He's also one of the most active PDL developers ... and he uses Cygwin extensively as well !
Cheers,
Rob