The cygwin installation was ok, but after starting the psptoolchain, I get an "operation not permitted" error (the skript tries to download the file binutils-2.16.1.tar.gz). After 20 tries (with operation not permitted error), the skript ends.
I've tried to download the files manually and put them in the psptoolchain dir but later in the skript, I get some more "operation not permitted" errors (this time not related to downloading), and the skript stops.
strange: I have installed cygwin now only with the packages listed in http://pspupdates.qj.net/lesson01.htm (so not the whole ‘Devel’ category) and get no more "operation not permitted" errors in the toolchain. When I reactivate my first cygwin installation (with full 'Devel'), I get the errors again. So it must have something to do with the cygwin installation (some devel package ?). It works for now with the 'small' installation, but maybe someone has an idea, where the error comes from ?