This is really a Cygwin problem, not a LilyPond problem.
Try to rerun setup.exe to install a package called "rebase"
and then start the cygwin command window are run the command
"rebaseall". Hopefully it helps, otherwise a question at the
cygwin mailing lists may provide more accurate answers (see
Dear LilyPond developer,
I have really been looking forward to transcribing some great jazz solos,
but unfortunately, I am now unable to run LilyPond on even the most basic
files. The errors I have been receiving are listed below. A previous
version worked well on my previous Windows computer