>>1
Not sure if you already have a program built and just want to add functionality of cygwin's layer. This would be advanced stuff, because even if you use LoadLibrary to make stuff work locally, other PCs won't have the entire Cygwin framework installed and your library may fail to, say, call cygwin bash exe's. I'm not too sure how it all works, though, but I think the usual thing is for an EXE built FOR cygwin to call cygwin1.dll, the same way as VBRUN400.dll is used.
Or, you just mean to use VC++ as your environment, but want to use cygwin's compiler (GCC.) This is a bit weird and maybe I'm not reading you right. But it would mean that you have to pass the -mno-mingw to build for non cygwin platforms by embedding the dll code into your exe. Good luck!