$ ./toolchain.sh
../depends/check-autoconf.sh: line 5: autoconf: command not found
ERROR: Install autoconf before continuing.
../depends/check-autoconf.sh: Failed.
I remember the instructions said exactly what to check during the cygwin install, at the time I did it. Maybe you're looking in the wrong place :) Best you'd do is probably find some tutorial or something which lists all of the needed packages (basically, most of the devel ones, plus svn, wget and some other stuff).
Let's see what the PSP reserves... well, I'd say anything is better than Palm OS.