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.
@mosynaq You have probably solved your problem by now but the port is maybe used by another service. I am getting everything working with following similar instructions.