Updated Instructions for Installng AucTeX on Windows and Cygwin

I had written about installing AucTeX earlier and it seems to work most of the time for people based on the emails to me.  Since then AucTeX has been developed further and there's a git repository too for it.  Here's a new set of instructions for the combination of Emacs 24.3, Cygwin and AucTeX.  Now you need git too to clone the repository and follow the instructions by Tassilo Horn here.

It's missing only one bit of instruction; you need to run
$./autogen.sh
before you start the ./configure script like
 $ ./configure --prefix=c:/gnu/ --with-emacs=c:/gnu/emacs-24.3/bin/emacs --with-texmf-dir=c:/MiKTeX2.9/

I prefer the in situ use of AucTeX and so you'd definitely need to follow Tassilo's instructions on the directory customisations especially

;; AUC TeX
;;;lines below are needed as we are calling auctex in situ inside the
;;;git repo instead of installing it.  See
;;; http://permalink.gmane.org/gmane.emacs.auctex.general/5127
(setq TeX-data-directory "C:/gnu/elisp/auctex/")
(setq TeX-lisp-directory "C:/gnu/elisp/auctex/")
(setq preview-datadir (expand-file-name "preview" TeX-data-directory)
      preview-lispdir preview-datadir)
(add-to-list 'load-path "C:/gnu/elisp/auctex/")
(add-to-list 'load-path "C:/gnu/elisp/auctex/preview/")
(setq Info-default-directory-list 
      (cons "c:/gnu/elisp/auctex/doc" Info-default-directory-list))

So, there you have it,using the git version of AucTeX.  And a big thanks to Tassilo for helping me sort out my installation woes.