Cygwin sucks.  Patch suggested by Niel Möller.

--- nettle-2.0/examples/setup-env	2009-06-08 20:27:12.000000000 +0200
+++ nettle-2.0/examples/setup-env	2009-09-18 16:58:03.000000000 +0200
@@ -3,5 +3,5 @@
 set -e
 
 if [ -x rsa-keygen ] ; then
-  ./rsa-keygen -r rsa-decrypt -o testkey || exit 1
+  ./rsa-keygen -r rsa-decrypt.exe -o testkey || exit 1
 fi