$ make
...
gcc -shared -Wl,--enable-auto-image-base build/temp.cygwin-1.7.11-i686-2.7/Python-2.7.3rc2/Modules/_io/bufferedio.o build/temp.cygwin-1.7.11-i686-2.7/Python-2.7.3rc2/Modules/_io/bytesio.o build/temp.cygwin-1.7.11-i686-2.7/Python-2.7.3rc2/Modules/_io/fileio.o build/temp.cygwin-1.7.11-i686-2.7/Python-2.7.3rc2/Modules/_io/iobase.o build/temp.cygwin-1.7.11-i686-2.7/Python-2.7.3rc2/Modules/_io/_iomodule.o build/temp.cygwin-1.7.11-i686-2.7/Python-2.7.3rc2/Modules/_io/stringio.o build/temp.cygwin-1.7.11-i686-2.7/Python-2.7.3rc2/Modules/_io/textio.o -L/usr/local/lib -L. -lpython2.7 -o build/lib.cygwin-1.7.11-i686-2.7/_io.dll
build/temp.cygwin-1.7.11-i686-2.7/Python-2.7.3rc2/Modules/_io/bufferedio.o: In function `_set_BlockingIOError':
/Python-2.7.3rc2/Modules/_io/bufferedio.c:579: undefined reference to `__imp__PyExc_BlockingIOError'
/Python-2.7.3rc2/Modules/_io/bufferedio.c:579: undefined reference to `__imp__PyExc_BlockingIOError'
build/temp.cygwin-1.7.11-i686-2.7/Python-2.7.3rc2/Modules/_io/bufferedio.o: In function `_buffered_check_blocking_error':
/Python-2.7.3rc2/Modules/_io/bufferedio.c:595: undefined reference to `__imp__PyExc_BlockingIOError'
collect2: ld returned 1 exit status 


CYGWIN_NT-6.1-WOW64 ... 1.7.11(0.260/5/3) 2012-02-24 14:05 i686 Cygwin
gcc version 4.5.3 (GCC)