1. Replace /usr/include/cygwin/cygwin_dll.h with a post 1.1.4 version from
Cygwin's CVS repository or a development snapshot.  The following is a known
good version:

    http://sources.redhat.com/cygwin/snapshots/cygwin-src-20001027.tar.bz2/winsup/cygwin/include/cygwin/cygwin_dll.h

2. Apply patch:

    $ cd postgresql-7.0.2
    $ patch -p1 <patch.diff
    $ rm src/win32/un.h  # Note that this step is optional

3. Install as documented in src/win32/README and INSTALL.