It seens that your cygwin workspace doesn't have the pthread support.
Unluckly I don't know how to help you on finding what you should download for cygwin (I never used cygwin when I had windows)... however you must searching something like "pthread deveoping libraries" or something like that.
However I don't know why you trying to build wine in windows, but it can be very painful and you could experience a lot of other problems. A warning... I don't know if cygwin allow to use the ln command (and if it is so, it will work surely differently as long as windows doesn't support symlinks)... but if the if the ln command cannot work properly in cygwin I would suggest to abandone completely the idea of buinding wine there.
If the ln command is not supported, infact, the configure will try to replace ln with cp, but the feature is bugged and the compilation will fail. So, in order to build wine, is somewhat mandatory to have a build chain where 'ln' is supported.