I am trying to install mysql using cygwin. This guide seemed to be exactly what I wanted. I downloaded the bottom item on this page. Then I followed all the instructions however there is no configure file in the mysql directory. There is a cmake directory inside of which there is a configure.pl file. I'm not sure if I'm supposed to run make to compile this .pl file. Given that there are no make files I'm a little confused on how to proceed. Any insights would be awesome.
Why would you install MySQL under Cygwin when there is a perfectly fine Windows version available? Also the version you said you downloaded is for OS X, while Cygwin emulates Linux.
I advice you to use the Windows version because it will probably be far more stable, fast, etc, etc, due to the fact that you don't need to emulate nothing. Further if there is some reason you need to run it under Cygwin use the Linux binaries.
Cygwin lets you choose some binaries to be installed for you at install time, and maybe MySQL is amongst them, so if you rerun the Cygwin installer you might get lucky and avoid the trouble of compiling / configuring MySQL yourself.
Also; This question probably belongs on https://serverfault.com/ or https://superuser.com/ =)