cygwin is harder to set up...i cant set up it
i think for the psp a good compiler is pspdev
the guide where to download and install it is:
Click Here!
and u will need the libraries so:
Click Here!
EDIT: but if u really want cygwin:
Click Here!
and badboy91 that is normal...some computers take 4 hours and other more time
mine taked 17hours and some ppl said that his computers taked 24hours!
EDIT2: with PSPDEV u dont need to install the psptoolchain coz comes with it