Although this question was answered by @Michael, I would like to make it clear.
We have to put the CYGWIN path stand behind the MS Visual Studio path.
Path=....C:\Program Files (x86)\Microsoft Visual Studio\VC98\bin;C:\cygwin\bin
Open Windows command prompt:
cmd
link --help
Make sure:
Microsoft (R) Incremental Linker Version 6.00.8168
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