Have you executed configure properly before you run make? Well, otherwise make would not know where to find jade, but still configure generates the file-entities.ent file, so there should have been errors in the configure output then...
Goba
I've done autoconf and then ./configure --with-php=/cygdrive/c/php/cli/php.exe
I've run configure again and it said: "ERROR: Failed to open /home/Nuno/phpdoc/entities/file-entities.ent for writing"
Well, that is the problem... You see the path in the error message, it is not right... First when you start up cygwin, issue a drive selection, or enter the path with a Windows drive letter, so cygwin will know that you are going to use Windows path values... IE:
cd c:/cygwin/home/Nuno/phpdoc ./configure ... ....
Otherwise cygwin will provide cygwin path values to the windows programs it executes, so they will not be able to work...
Goba