./configure --with-mib-modules="host agentx disman/event-mib examples/example" --with-out-mib-modules=host/hr_network --with-libs="-lws2_32"
make && make install wraps it up. One small important thing. You can build Net-SNMP on Cygwin host A, tar it and copy it to host B. A
make install will normally install nicely.
However, make sure that cygcrypto.0.9.x.dll is the same on both machines. Cygwin will generate a warning if this is not the case.