It took me a lot of time to build on Windows, basically, because i am not command line savvy person. However, it finally was built without errors. I can not write exact steps, because i tried different. But basically I was following different tutorials found on mono web site.
Something that i can mention:
1) Avoid this "C:\Program Files (x86)\Mono-2.10.9\bin". Install Mono to root, for example to C:/. When exporting to PATH try /cygdrive/c/ instead of "C:\" (search for correct syntax, just in case i make a typo here)
2) Different tutorials mention that you should downgrade to make 3.80. However, it seems that this recommendation is no longer valid. Current version is 3.82 and it works
3) try running Cygwin terminal as administrator
Also, i used just ./autogen.sh --prefix=/my/directory/