Just download the pre-built tool chain from www.uclinux.org and everything should work perfectly.

After a long struggling I finaly built a working tool chain under CYGWIN environment.

It's been proved working by compiling the u-boot and uclinux.

Download is here.

But like myself finally did, I just installed real linux and stick with it because CYGWIN just needs too much patches and tricks to get uclinux build working.

Well, if you really want to rebuild it by yourself, drop me an email and I can send you the source code.