autoreconf: command not found in Cygwin on Windows

To build MSYS tools, you should use the autotools provided in the MSYS System Builder package:

http://sourceforge.net/project/showfiles.php?group_id=2435&package_id=227249

autoconf-2.61-MSYS-1.0.11-1.tar.bz2 automake-1.10-MSYS-1.0.11-1.tar.bz2 libtool1.5-1.5.25a-20070701-MSYS-1.0.11-1.tar.bz2

Unpack them to the same location you extracted msys package.

Try install autoconf, automake and libtool. It's under Devel of the Cygwin setup program.