I compile it as gfortran MyTest.f90 -o MyTest -llapack -lblas. I don't
get any errors (it says "compilation finished"), but the output file
doesn't print anything (neither the strings, or the variable info). If
I comment the "CALL DGESV" line, it does print everything (with
info=0, of course).

32 bit or 64 bit Cygwin? Works for me, I get

$ gfortran MyTest.f90 -o MyTest -llapack -lblas

$ ./MyTest
Printing the results
          0
End printing

So no "compilation finished" message. Might you have some other
version of gfortran on your path? I believe cygcheck.out would
list some of this information. Other things to check:

which -a gfortran
which -a cygblas-0.dll


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