I'm trying to build VIM with Python/Perl support under Cygwin.
Has anyone done this and can shed some light how this is achieved?
I am not sure what you mean. If i remember correctly vim is already provided as a binary for cygwin. http://cs.nyu.edu/~yap/prog/cygwin/FAQs.html#gvim
If you would just like to have python support in vim you might want to have a vim plugin installed.
Check out http://www.vim.org/scripts for plugins.
Here is for example python code completion i use: http://www.vim.org/scripts/script.php?script_id=850