Problem installing 4.006 under cygwin - "Cannot find the file 'mysql_config'!"

I'm about at the end of my rope on this.  I'm running on XP Pro SP2 and 
have Cygwin 2.573.2.2 (setup version,) MySQL version 5.0.51a, perl 
version 5.8.8, and DBD-mysql-4.006

I'm trying to get perl to talk to a local MySQL 5 DB, and I can't get 
DBD::mysql to install properly.  Of course, I had to figure out a way to 
move the home directory so that I could overcome the lack of support for 
directory trees including spaces in the path, and I needed to compile 
MySql 5 drivers under cygwin, but now I'm totally stumped!

I've been trying to run "perl -MCPAN -e 'install DBD::mysql'" but it 
barfs when it tries to run the mysql_config, even though I purposefully 
added it's location as the FIRST ITEM on the path.

I thought I'd follow the instructions to build the blasted thing 
manually, as documented here:
http://search.cpan.org/~capttofu/DBD-mysql-4.005/lib/DBD/mysql.pm
but it apparently requires nmake which I don't think is available under 
cygwin.

I'm pretty frustrated at this point and would appreciate any help you 
can provide.

Output from the command is below....

    DBD-mysql-4.006/TODO
    Removing previously used /cygdrive/c/home/tcooper/build/DBD-mysql-4.006

      CPAN.pm: Going to build C/CA/CAPTTOFU/DBD-mysql-4.006.tar.gz

    Can't exec "mysql_config": No such file or directory at Makefile.PL
    line 76.

    Cannot find the file 'mysql_config'! Your execution PATH doesn't seem
    not contain the path to mysql_config. Resorting to guessed values!
    Can't exec "mysql_config": No such file or directory at Makefile.PL
    line 466.
    Can't exec "mysql_config": No such file or directory at Makefile.PL
    line 466.
    Can't exec "mysql_config": No such file or directory at Makefile.PL
    line 466.
    Can't exec "mysql_config": No such file or directory at Makefile.PL
    line 466.
    Can't exec "mysql_config": No such file or directory at Makefile.PL
    line 466.
    Can't exec "mysql_config": No such file or directory at Makefile.PL
    line 466.
    Failed to determine directory of mysql.h. Use

      perl Makefile.PL --cflags=-I<dir>

    to set this directory. For details see the INSTALL.html file,
    section "C Compiler flags" or type

      perl Makefile.PL --help
    Running make test
      Make had some problems, maybe interrupted? Won't test
    Running make install
      Make had some problems, maybe interrupted? Won't install

    tcooper@tcooper-lap /cygdrive/c/mysql/mysql-5.0.51a
    $ which mysql_config
    /cygdrive/c/mysql/mysql-5.0.51a/mysql_config