You're instructions didn't really work for me...
I followed these instructions (as far as making sure all the correct packages are installed)
http://randomartifacts.blogspot.com/2013/04/compiling-git-on-cygwin.html
Modified the Makefile
$ git diff Makefile
diff --git a/Makefile b/Makefile
index 3588ca1..90f337c 100644
--- a/Makefile
+++ b/Makefile
@@ -407,7 +407,7 @@ RPMBUILD = rpmbuild
TCL_PATH = tclsh
TCLTK_PATH = wish
XGETTEXT = xgettext
-MSGFMT = msgfmt
+MSGFMT = msgfmt.py
PTHREAD_LIBS = -lpthread
PTHREAD_CFLAGS =
GCOV = gcov
then
make configure NO_MSGFMT_EXTENDED_OPTIONS=1
./configure
make NO_MSGFMT_EXTENDED_OPTIONS=1
make install NO_MSGFMT_EXTENDED_OPTIONS=1
Not sure if the param is needed for all the make commands, but this worked for me
