For your reference, the way I do this is to click the Advanced button (on the build/rebuild setup dialog) and enter a new environment variable along these lines:
Set PATH=/opt/ppctools/tools/bin:/usr/local/bin:/usr/bin:/usr/sbin:/bin:/sbin
SE sets that when it starts up the shell, so make can be found. The reason I do this instead of using the Windows path is because... well, have you seen the Windows path? About 6 trillion lines long and full of dupes and pointing to tons of stuff that isn't relevant to Cygwin. Compiling something like a kernel would just fail because there was no environment space left.