I've tried to build Octave under Windows but I get errors. The problem lays in muliple definitions during linking:
/usr/lib/gcc/i686-pc-cygwin/3.4.4/libstdc++.a(string-inst.o):(.text$_ZNKSs4findEPKcjj[std::basic_string<char, std::char_traits<char>, std::allocator<char> >::find(char const*, unsigned int, unsigned int) const]+0x0): multiple definition of `std::basic_string<char, std::char_traits<char>, std::allocator<char> >::find(char const*, unsigned int, unsigned int) const'
/usr/lib/gcc/i686-pc-cygwin/4.5.3/libstdc++.dll.a(d000525.o):(.text+0x0): first defined here