You must have MoscowML 2.01 installed
before you running the installer. In particular, this
means that the environment variables PATH and
MOSMLLIB must be correctly set. Further, these
variables must be Windows environment variables (set through
the Control Panel). It is not enough to have variables set just
for Cygwin shells.
The self-extracting installer for Moscow ML will normally set environment variables correctly as part of its installation process.