With the new autotools build system and related fixes, its now possible to build and run Pd using Cygwin. It is not yet possible to load externals, there just needs to be some build fixes to support linking against Pd (-lpd).
Cygwin is relatively easy to install. Download setup.exe and run it to install Cygwin. Install it in the default location.
Once you get to the Select Packages screen, click the button on the upper right corner labeled View and change it to Full. Now find autoconf, automake1.10, tcltk, svn, make, openssh, patch, and sed and make sure they are set to install. This is represented by a version number to be installed instead of Skip.
./autogen.sh && ./configure && make
The externals in extra won't build, and the make will end with an error, but you will have a working Pd.