4.2) If you want to download it via wget from the Cygwin shell, you'll have to install wget & curl, and jump through a few hoops to setup the SSL CA certs... (cf. http://stackoverflow.com/questions/9224298/).
5) Compile using "make" in the tool's directory
6) Install it by running "make install"
BIS) Alternatively, you can also build a native version with a MinGW or MinGW-w64 toolchain.
On a native MinGW+MSYS toolchain, you'll probably have to tweak the Makefile, but it should handle a Linux cross toolchain properly with the mingw target ;).