I’ve been puttering around trying to get MySQL to work with Cygwin for a while. It’s not available on the main application package system, so there’s a lot of advice out there on how to compile it.
Unfortunately it’s really hard to compile, I mucked around with it for quite a few hours before, finally finding the advice hidden deep in a thread that it’s available in Cygwin Ports. Cygwin ports which I hadn’t heard of before provided all sorts of stuff that’s not available normally.
Just follow the directions here, and select the MySQL package when prompted.
http://sourceware.org/cygwinports/
It’s been working great for me and I can finally use SQL-MODE in emacs.