I installed Cygwin on Windows XP without any additional packages and tried to build midnight commander from source.
Alas, the gcc compiler was missing, so I checked the option in the devel section in the cygwin install dialog.
./configure script was halted on glib missing error and glib itself has other dependencies. So I just checked all the devel package - and everything worked fine then, but it looks like an overkill: the cygwin directory has 5GB now.
I am not sure which components can I uncheck to be able to build apps like midnight commander. I would also appreciate any link or brief insight into the devel components of Cygwin.