Installing the required tools under Cygwin under Cygwin can be a little tedious. Most of the required packages can be installed using Cygwin's graphical installer, while netpbm and LaTeX2HTML must be installed from source.
Start with a reasonably modern version of Cygwin. If you haven't upgraded for a few years, now would be a good time.
Using the Cygwin installer, make sure your Cygwin installation
    includes Perl, Python, and the TeX packages.  Perl and Python
    are located under the Interpreters heading.  The
    TeX packages are located under the Text
    heading, and are named tetex-*.  To ensure that all
    required packages are available, install every tetex
    package, except tetex-x11.  (There may be a more minimal
    set, but I've not spent time trying to minimize the installation.) 
The netpbm package is used by LaTeX2HTML, and must be installed before LaTeX2HTML can be successfully installed, even though its features will not be used for most Python documentation. References to download locations are located in the netpbm README. Install from the latest stable source distribution according to the instructions. (Note that binary packages of netpbm are sometimes available, but these may not work correctly with LaTeX2HTML.)
LaTeX2HTML can be installed from the source archive, but only
    after munging one of the files in the distribution.  Download the
    source archive from the LaTeX2HTML website
    http://www.latex2html.org/ (or one of the many alternate
    sites) and unpack it to a build directory. In the top level of
    this build directory there will be a file named L2hos.pm.
    Open L2hos.pm in an editor, and near the bottom of the file
    replace the text $^O with the text
    'unix'.  Proceed using this command to build and install
    the software:
% ./configure && make install
You should now be able to build at least the DVI, HTML, PDF, and PostScript versions of the formatted documentation.
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