I hate to mention the obvious thing, but did you run the lilypond
setup script? They're called "lilypond-login" or "lilypond-profile"
and they are in the buildscripts/out directory. You only need to use
one of them, although I don't know which one is appropiate for Cygwin.
On cygwin you don't need running anything manually. Installation should
be fully automatic, but it seems that setup.exe is not perfect and some
users have problems with installing.
Bert
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