Cygwin is a Linux-like environment for Windows and includes many UNIX tools, including the GNU compilers and Make. You can get the Cygwin tools from http://www.cygwin.com/. The directions are on that page.
Problem with Cygwin Make
The Cygwin Make version 3.81-1 does not handle MS-DOS path names and thus does not work for EPICS builds with RELEASE file definitions. From the discussion on the Cygwin mailing list it looks like this will be fixed in Make version 3.82, but it has not been fixed for close to a year at the time of this writing. If you have Make 3.81 you will get an error when building:
MakefileInclude *** multiple target patterns
that will also include your project name and a line number. In spite of what the error message says, the real problem is that this version of Cygwin Make doesn't accept file names with colons in them (e.g. c:/epics/base).
You have several choices:
The EPICS IDE relies on the MakeBaseApp routine that is included with EPICS base. Consequently, the EPICS IDE cannot be easily fixed to work around this problem. The most recent versions of EPICS may have fixed versions of MakeBaseApp, but older versions do not. The Cygwin Make used to work fine with EPICS and did so for many years.