It looks to be difficult to make a working shared object version of
MySQL++ under Cygwin. Since the only people who are likely to demand
such a thing are commercial Cygwin licensees (due to Cygwin's GPL
situation) there really isn't much point in putting more effort into it.
I've updated the MySQL++ FAQ to show how to build MySQL++ statically
under Cygwin.

As for MinGW, it's also only working statically at this point, but for
different reasons. It's probably possible to get it to work
dynamically, but I've passed that effort off to someone who seems to be
personally interested in the project. Results may or may not be ready
by v2.0 time.

If you can't wait for this effort to bear results, and aren't willing to
help it along: use Visual C++. This works without fuss.

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