It actually is an easy procedure. You can try following these alternative instructions here
Basically, you'll download the tarball with wget after having cd'd to the desired directory (e.g. /usr/local/src/), extract it, get into its directory and execute the configure command, make, and make install.
Searching "cygwin siege howto" on Google will lead you to other guides, in case you still can't understand the one I provided.
Feel free to ask if you get stuck!