So my point is to compile ffmpeg (I know that autobuild tools or minGW can be used but I want cygwin) using gcc to have a library (like .dll or, better .lib) usable from my windows visual studio C++ appication. Is it possible and what are main instructions on how to do such thing?
You seem a bit confused about the difference between MinGW and cygwin, but reading the following links will probably not be a waste of time: