This usually happens when something is not the default way:
- you have other TeX installed on the machine (MikTeX is known to work together with lilypond, but other distributions are not)
- you have some other HOME directory in cygwin.
Please run bash -x /etc/lilypond-profile.sh and then lilypond test.ly from the cygwin prompt (from the directory where you have test.ly).
Send us the output from the first command.
Thanks,
Bert
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