Hey,
I'm having similar difficulties. Here is one error I get.
E:\Slickedit\hi>E: & cd E:\Slickedit\hi
E:\Slickedit\hi>E:\ProgramFiles\SlickEditV14.0.2\win\vsbuild -signal 9009 -command make -f "E:\Slickedit\hi\hi.mak" CFG=Debug
VSLICKERRORPATH="E:\Slickedit\hi"
make -f E:\Slickedit\hi\hi.mak CFG=Debug
g++-3 -c -v -g -o "Debug/hi.o" hi.cpp
/bin/sh: g++-3: command not found
make: *** [Debug/hi.o] Error 127
E:\Slickedit\hi>E: & cd E:\Slickedit\hi
E:\Slickedit\hi>E:\ProgramFiles\SlickEditV14.0.2\win\vsbuild -signal 9009 -command make -f "E:\Slickedit\hi\hi.mak" CFG=Debug
VSLICKERRORPATH="E:\Slickedit\hi"
make -f E:\Slickedit\hi\hi.mak CFG=Debug
g++-4 -c -v -g -o "Debug/hi.o" hi.cpp
/bin/sh: g++-4: command not found
make: *** [Debug/hi.o] Error 127
E:\Slickedit\hi>
I have had slickedit for a little over a week now and have yet to succeed in compiling a simple hello world program. (Note I can compile the same program in Netbeans so I believe all of the cygwin files are in there proper locations.)