Cygwin comes with an easy gui installer
Run it and choose the required applications (probably most development tools if you wanna compile stuff)
(It can be pretty large, some 100 Mbytes if you choose allot but it's better to install too much than missing some required stuff)
then you should open cygwin bash shell and you'll get an dos-like window where you can type unix commands.
probably you wanna 'cd' to the directory where the code is
cd c:
cd myProjects
....
and there you should run the required build commands
probably "make", perhaps with an option
perhaps ./configure --prefix=...
Read the install document if you want to know how to compile. Cygwin should make it the same as in linux/unix
and then you should be able to run the application you've just build
if it requires a gui, then you should install an x-server like Xceed or X-win on your pc.
When the program/source isn't property of your company I'm willing to try and build it for you. Otherwise you should try to build it yourself!!!
You could always ask the author for instructions on how to build!
Antharax