Here are the basic steps to build XEphem on cygwin:

   1. go to http://www.cygwin.com
   2. a little ways down the page near the center click on Install or update now!
   3. Click Save, save to Desktop, note new black/green cygwin setup icon appears on Desktop
   4. double-click cygwin Setup icon, click Next to pass the first dialog
   5. click Download without installing, click Next
   6. accept the local package directory or set as desired, click Next
   7. click Direct Connection or choose as required, click Next
   8. choose a mirror site, I used http://mirror.cpsc.ucalgary.ca
   9. the package list is downloaded first, then you see a dialog asking to select packages.
  10. click on Default in the first row, wait a few seconds until they all say Install, click Next.
  11. huge download begins. note the speed, if it is not at least 100kb/s cancel out and go back to step 4 and choose a different mirror.
  12. click Ok on Download complete to dismiss the setup program
  13. double-click cygwin Setup icon to start it again, click Next to pass the first dialog
  14. click Install from Local Directory, click Next
  15. set the root install directory to C:/cygwin or other as desired (but always use something without spaces), click Just Me and UNIX file formats, click Next
  16. accept local package directory or set as before in step 6, click Next
  17. the package list is scanned, then you see a dialog asking to select packages
  18. click on Default in the first row, wait a few seconds until they all say Install, click Next.
  19. huge installation begins, wait.
  20. click Finish to create a desktop icon and Start menu entry, click Ok on next dialog to finish.
  21. double-click Cygwin icon to start cygwin environment and a shell window.
  22. in the shell window, type startx to start rootless X Window server and an xterm.
  23. use this xterm for all subsequent commands, not the original shell window (iconify the latter to avoid possibility of confusion)
  24. go to http://www.xephem.com and download the XEphem source code. Here I assume xephem-3.6.4.tar.gz in your home directory.
  25. run "tar xfz xephem-3.6.4.tar.gz; cd xephem-3.6.4/GUI/xephem"
  26. build XEphem by typing "make"
  27. try it with "./xephem" 

Further notes:

    * To avoid endless grief now and in the future, be sure your cygwin HOME directory does not contain spaces. This will happen if you choose your install directory with spaces in it or if your Windows login has spaces. If you have spaces in your install directory path, move things around and/or change names to eliminate it. If you have spaces in your login name, rename the directory to something without spaces and change the entry in /etc/passwd to match.
    * If when you start xephem you get a message about "failed to initialize" try compiling with a different version of the gcc compiler. There are reports the gcc version 3.3.3-3 causes this but 3.3.1-3 does not.
    * You can remove the temporary downloaded copy of cygwin after your local installation is known to be working ok.