Ruby/mysql cygwin

I have recently converted to cygwin. I have mysql (the windows binary)
installed on XP. Accessing mysql through cygwin works fine as is. When
I try to run ruby/mysql programs through cygwin, it fails. To get
ruby/mysql working in windows, I put a mysql.so in i386-win folder and a
mysql.rb in one of the load paths. For cygwin, I put the same mysql.so
in the i386-cygwin folder and the same mysql.rb in the one of the load
paths (site_ruby). Before this though I tried

gem instal mysql

and it fails (I think because it can’t find the libraries and/or header
files). This is probably because mysql is installed on XP and not
cygwin. So I imagine I need to install mysql in cygwin, but I’m not
sure how to do this. Any suggestions?