Playing some more with 'makeself', it looks like the package has a number of additional runtime dependencies not listed in the 'setup.hint' provided:
bash coreutils gzip bzip2 sharutils gnupg (As currently packaged, the 'dash' dependency is not correct, since the the installed 'makeself' script starts with #!/bin/sh, which, in Cygwin, is bash.) Two more things I noticed about 'setup.hint': (1) "sdec:" is not valid; it should be "sdesc:" . (2) The category should be "Utils" not "utils" (not sure if case is that important, but http://cygwin.com/setup.html lists it as "Utils"). I hope this doesn't feel like I'm piling on the criticism, but these little details do matter. -SM --