It's been reported* that this software can be compiled on Cygwin with GCC,
although the patch_exim_makefile.py script doesn't quite come up with
the correct library name for linking in Python.

Since I'm not sure if that's a Cygwin bug that'll be fixed someday, I'll 
leave the patch script alone for now.  But if you have problems linking,
try altering the patched Makefile - look for something like:

  EXTRALIBS=-lm   /usr/lib/python2.3/config/libpython2.3.a

and replace the '.a' extension of the library name with '.dll.a',
for example:

  EXTRALIBS=-lm   /usr/lib/python2.3/config/libpython2.3.dll.a


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 * Thanks to Martin Duffy for figuring this out.