Patched to compile on Cygwin.
diff --git a/src/dynapi/SDL_dynapi.c b/src/dynapi/SDL_dynapi.c
index 7174518..144bc84 100644
--- a/src/dynapi/SDL_dynapi.c
+++ b/src/dynapi/SDL_dynapi.c
@@ -198,7 +198,7 @@ SDL_DYNAPI_entry(Uint32 apiver, void *table, Uint32 tablesize)
/* Obviously we can't use SDL_LoadObject() to load SDL. :) */
/* Also obviously, we never close the loaded library. */
-#if defined(_WINDOWS)
+#if defined(_WINDOWS) || defined(__CYGWIN__)
#ifndef WIN32_LEAN_AND_MEAN
#define WIN32_LEAN_AND_MEAN 1
#endif