@SeikaI just took a look at the errors.
I've no idea about the first one (can't find header files). And I will take a test about it later.
About the second error on github repo. I think the reason is : The path of your android SDK contains space.
Now cocos2d-console doesn't support tools path contains space. And maybe we will implement it later.
So, by now you can change your android SDK path, make sure it's not contains space.
Another suggestion: Now Cygwin is not required by cocos2d-console on windows. You can invoke command
cocos in command line directly. (Our development & tests all based command line, but not Cygwin)
After all, thanks for your feedback!