Roger Levy wrote:
> Installing library with ocamlfind
> ocamlfind install  pcre META pcre.mli pcre.cmi pcre.cma pcre.cmxa pcre.a 
> libpcre_stubs.a dllpcre_stubs.so
> ocamlfind: dllpcre_stubs.so: No such file or directory

This is your problem.  It is attempting to install a .so file, which
_cannot_ exist, since (a) Cygwin uses .dll for shared libraries rather
than .so, and (b) the Cygwin port of OCaml does not support shared
libraries in any case.

Rebuild PCRE for static linking only, and it should install happily.