Yeah, mixing cygwin and mingw is bad, at least it was bad before AFAIK, it seems that it is still bad.
I don't think python supports compiling with cygwin. Actually I am surprised that it supports mingw, it used to work with visual studio only.
So, yeah, try compiling igraph with mingw, I guess. I don't know much about mingw, so cannot give you better advice, maybe someone else can.
Visual studio should work, too, you can download a free version.
Btw. if you want 0.6.5, what's wrong with the installer we provide?
Gabor