You have to install the make
command.
Run the Cygwin installation/configuration program, setup-x86_64.exe
or setup-x86.exe
(you should already have it, downloaded from here). When you get to the screen that lets you select packages to install, find make
and select it (it’s probably under “Development” or something similar).
Then you’ll be able to run make
from the Cygwin bash command line.