[SDL] Difficulty compiling SDL_image with either Cygwin or Mingw

[David Bruce]

I would like to try to make a Windows build of a Linux SDL game, and have not 
been able to set up a working build environment.  I have tried both Cygwin 
and Mingw, and I cannot get SDL_image to build on either of them.  I am 
posting this from my Linux machine rather than the Windows box in question, 
so I can't paste in the compiler output, but basically the message 
is "libjpeg.h not found".   It seems this should be possible, but I have 
spent a lot of time with Google and have yet to find out how to get going.  
The main SDL lib is no problem.

Sorry for the general FAQ-type question, but I really am stuck.  Can anyone 
tell me how to set up an environment to make a Windows build of a Linux SDL 
game, preferably without buying MS' dev tools?
-- 
David Bruce