I finally successfully installed this module on cygwin after several attempts and would like to share my findings in additional to what has been written in "INSTALL.html"

Firstly, the anti virus software that I used (AVG free edition) causing memory leak problem while compiling DBI module. So, I have to stop the anti-virus services before I started the installation.

Secondly, while compiling this module, there's an error of not able to locate 'mysqld_error.h'. Since I only compiled mysql client on cygwin, 'mysqld_error.h' is not included in /usr/local/mysql/include/mysql directory. So, I copied this file from 'include/' directory of mysql source files to /usr/local/mysql/include/mysql directory.

Thirdly, since I didn't setup mysql server to listen to TCP/IP port, I received "connection" error in doing 'make test'. So, I re-configure mysql server and confirm mysql is listening to port 3306 (by netstat) to proceed with this installation.

Finally, I am able to use this module to connect to mysql server (in the same machine)...

Cheers...