Get the latest xgawk source from
http://downloads.sourceforge.net/xmlgawk/

or (it is also here because a GPL binary must be delivered with its source)
http://usuarios.arsystel.com/wzrlpy/xgawk/

To compile the minimum xgawk you should install these packages:

base-files                3.7-1
bash                      3.2.25-17
coreutils                 6.9-5
expat                     1.95.8-2
gcc                       3.4.4-3
gcc-core                  3.4.4-3
libexpat0                 1.95.8-2
make                      3.81-1

To compile xgawk AND its extensions you should install additionally these packages:
libmpfr-devel             2.2.1-1
libpq-devel               8.1.4-2
libgd-devel               2.0.35-1

You can get these packages as binaries from any Cygwin mirror.

Of course you can follow the hard way, and compile the source of these packages by yourself.
For example, I typically compile GD from source, configured this way:
./configure --x-includes=/usr/include/noX/ --x-libraries=/usr/lib/noX --with-xpm=/usr/lib/noX --without-x)

Configure your xgawk with:
./configure --disable-shared --enable-static-extensions

Then make; make install

The resulting EXE depends on these DLLs:

$ cygcheck ./xgawk.exe
.\xgawk.exe
  C:\cygwin\bin\cygwin1.dll
    C:\WINDOWS\system32\ADVAPI32.DLL
      C:\WINDOWS\system32\ntdll.dll
      C:\WINDOWS\system32\KERNEL32.dll
      C:\WINDOWS\system32\RPCRT4.dll
        C:\WINDOWS\system32\Secur32.dll
  C:\cygwin\bin\cygexpat-0.dll
  C:\cygwin\bin\cygfreetype-6.dll
    C:\cygwin\bin\cygz.dll
  C:\cygwin\bin\cygiconv-2.dll
  C:\cygwin\bin\cygintl-8.dll
  C:\cygwin\bin\cygjpeg-62.dll
  C:\cygwin\bin\cygmpfr-1.dll
    C:\cygwin\bin\cyggmp-3.dll
  C:\cygwin\bin\cygpng12.dll
  C:\cygwin\bin\cygpq.dll
    C:\cygwin\bin\cygcrypt-0.dll
    C:\cygwin\bin\cygcrypto-0.9.8.dll
    C:\cygwin\bin\cygintl-3.dll
    C:\cygwin\bin\cygssl-0.9.8.dll

I am not including these DLLs, so to run xgawk.exe you will need to install the following Cygwin packages:

$ cygcheck -f /usr/bin/cygexpat-0.dll /usr/bin/cygfontconfig-1.dll /usr/bin/cygfreetype-6.dll /usr/bin/cygz.dll /usr/bin/cyggmp-3.dll /usr/bin/cygiconv-2.dll /usr/bin/cygintl-8.dll /usr/bin/cygjpeg-62.dll /usr/bin/cygmpfr-1.dll /usr/bin/cygpng12.dll /usr/bin/cygpq.dll /usr/bin/cygcrypt-0.dll /usr/bin/cygcrypto-0.9.8.dll /usr/bin/cygintl-3.dll /usr/bin/cygssl-0.9.8.dll
crypt-1.1-1
libexpat0-1.95.8-2
libfontconfig1-2.3.2-2
libfreetype26-2.3.5-1
libgmp3-4.2.1-1
libiconv2-1.11-1
libintl3-0.14.5-1
libintl8-0.15-1
libjpeg62-6b-12
libmpfr1-2.2.1-1
libpng12-1.2.22-1
libpq4-8.0.7-1
openssl-0.9.8g-1
postgresql-8.0.7-1
zlib-1.2.3-2