Here is the working recipe, repeated until it works exactly from a  
clean install every time with no redo
Environment:
Windows 2000:

cygwin:
1.5.5.1
Êwhich has problems with gcc and cpp (and configure fails with)
mingw :
MinGW-3.1.0-1.exe
(do not forget to rename make.exe to mingw32-make.exe, as it cannot  
cope with the ANTLR Makefile!, but the cygwin one can)

path in cygwin to use mingw first
PATH="/mingw/bin:/usr/local/bin:/usr/bin:/bin:$PATH"

java SDK:
j2sdk-1_4_2-nb-3_5_1-bin-windows.exe

antlr:
antlr-2.7.2.tar.gz

1.Untar anltr into a new directory under cygwin <basedir>
{mine is C:\cygwin\redo\antlr-2.7.2, under cycgwin its  
/redo/antlr-2.7.2}
Do NOT add antlr.jarÊ to your $CLASSPATH environment, as it is not a  
valid file yet.

2. Note that <basedir>/configure contains an error at
# Java

CLASSPATH=$CLASSPATH:.
Êjust comment it out, as we set the . in the external CLASSPATH
#CLASSPATH=$CLASSPATH:.

3. set up class path for configure
Ênote the . in the path
ÊÊÊÊÊÊÊ the ; path seperator
ÊÊÊÊÊÊÊ the windows file format.
ÊÊÊÊÊ These are because Java j2sdk is a windows application, not a  
cygwin application
export CLASSPATH=".;c:\cygwin\j2sdk1.4.2\lib"

$ echo $CLASSPATH
.;c:\cygwin\j2sdk1.4.2\lib

3. cd <basedir>
ÊÊ run configure as
./configure --prefix=<basedir>
with base dir in windows format

$ ./configure --prefix=/redo/antlr-2.7.2
...
configure: creating ./config.stat
cconfigure: creating ./config.status
config.status: creating scripts/Config.make
config.status: creating scripts/antlr-config
config.status: creating scripts/run-antlr
$


4. cd scripts & edit the Config.make just created to put the correct  
class path in
# Programs we might use and their options...
# next line commented
#ANTLRÊÊÊ = $(JAVA) -cp $(TOPDIR)/antlrall.jar antlr.Tool
ANTLRÊÊÊ = $(JAVA) -cp "C:\cygwin\redo\antlr-2.7.2" antlr.Tool


5. clear $CLASSPATH (not set it to blank, that does NOT work)
unset CLASSPATH

6. build with NO Classpath
make

$ make
=============================
Making dependencies...
=============================
make[1]: Entering directory `/redo/antlr-2.7.2/antlr'
...
===========================================
Making antlr.jar...
===========================================
===========================================
Making antlr.debug.jar...
===========================================
Building antlr/ANTLRTokdefLexer.java
Building antlr/ANTLRTokdefParser.java
Note: antlr/ANTLRTokdefParser.java uses or overrides a deprecated API.
Note: Recompile with -deprecation for details.
Building antlr/actions/cpp/ActionLexer.java
Building antlr/actions/java/ActionLexer.java
Building antlr/preprocessor/Preprocessor.java
Note: antlr/preprocessor/Preprocessor.java uses or overrides a  
deprecated API.
Note: Recompile with -deprecation for details.
Building antlr/preprocessor/PreprocessorLexer.java
===========================================
Making antlrall.jar...
===========================================

7. Make install with NO Classpath
make install

$ make install
Installing jar files into /redo/antlr-2.7.2/share/antlr-2.7.2
...
Installing config.hpp into /redo/antlr-2.7.2/include/antlr
make[3]: Leaving directory `/redo/antlr-2.7.2/lib/cpp/antlr'
make[2]: Leaving directory `/redo/antlr-2.7.2/lib/cpp'
make[1]: Leaving directory `/redo/antlr-2.7.2/lib'

8. check in antlr-2.7.2/lib for libantlr.a

9. set up class path to run
$ export  
CLASSPATH=".;c\cygwin\j2sdk1.4.2\lib;C:\cygwin\redo\antlr- 
2.7.2\antlrall.jar"

10. create test directory
$ mkdir grammars
$ cp examples/cpp/*/*.g grammars
$ cd grammars

11. test
$antlr calc.g

Check for the hpp & cpp files in grammars