I'd suggest you do the following (there are several approaches to this, but this is by far the easiest one; you won't need Cygwin):
Download and install MinGW as well as MSYS to C:\Usr (or create a symbolic link).
Add the following paths to Windows' PATH environment variable: C:\usr\bin and C:\usr\msys\1.0\bin
Install CMake and add it's bin dir to the path as well (think this is done by the setup program anyway).
One this is done you can open up a console window (cmd) and start using the shell similar to Unix.
When building libraries, install them to C:\Usr (prefix), which should result in your include files landing in C:\usr\include, libraries landing in C:\usr\lib, etc. which will allow CMake to find all your libraries like it does under Linux/Unix, saving you lots of trouble.
For example, to build and use SFML, you'd do the following:
cd /sfml-source-dir
cmake -G "MinGW Makefiles" -DCMAKE_BUILD_TYPE=Release -DCMAKE_INSTALL_PREFIX=C:/usr .
make install
cmake -DCMAKE_BUILD_TYPE=Debug
make install
cd /my-own-dir
make whatever