Install Cygwin with make, gcc & g++. Download Redis tar.gz package, unpack it.
Edit deps/hiredis/net.c and add the following lines just after the include directives:
/* Cygwin Fix */
#ifdef __CYGWIN__
#define TCP_KEEPCNT 8
#define TCP_KEEPINTVL 150
#define TCP_KEEPIDLE 14400
#endif
Run the following script:
cd deps/
make lua hiredis linenoise
cd ..
make
Thanks to winse, see this blog entry.
For newer gcc compilers you need to add following line in net.c file before include directives:
#define _POSIX_C_SOURCE 200112L