In order to compile the Msql-Mysql module for perl, you must have the mysql client library, in addition to a mysql daemon. Unfortunately, I've never yet been able to successfully compile mysql for cygwin. However, using this precompiled client library and the native-win32 mysql (both from the mysql website) I was able to build the Msql-Mysql module. The client library was compiled with B20 I think, but the perl modules I've built with it using Cygwin V1.1 seem to work okay.