The NeXus source code should build under cygwin, but note that
HDF4 may not work (HDF5 and XML are fine). When building the HDF5
library you may want to specify an explicit prefix for the
install location e.g.
./configure --prefix=/usr/local/hdf5 # for building HDF5
Otherwise you will need to configure NeXus with
./configure --with=hdf5=/path/to/where/hdf5/went # for building NeXus
or it will not be able to locate the HDF5 libraries.
Alternatively there is a native Windows kit available
from http://download.nexusformat.org/kits/windows that supports
HDF4/HDF5/XML and building applications under both Visual Studio