Windows fixed/etc/Makeconf SHELL incorrect?

D:\mtmorgan\src\R-devel>bin\R CMD config CC
make: /bin/sh: Command not found
make: ** [print] Error 127
make: /bin/sh: Command not found
make: ** [print] Error 127

D:\mtmorgan\src\R-devel>bin\R CMD config CC

This is on a system where cygwin and Rtools (from your installer) are
under c:/usr (rather than the more usual location for cygwin directly
under c:/). The system has seen many cooks over the years, and there
could well be a misconfiguration somewhere else. PATH (e.g., to make,
sh, ar) seem to point to the right location, versions seem to be
correct, and changing SHELL to sh remedies the situation.
  

I suspect you have path problems.  Cygwin should generally follow all of 
the R tools in the path, because we have some modified versions of 
Cygwin utilities.  For example, when running in CMD.EXE, this path works 
for me:

C:\Documents and Settings\murdoch>path
PATH=c:\Rtools\bin;c:\Rtools\perl\bin;c:\Rtools\MinGW\bin;C:\texmf\miktex\bin;f:\texmf\miktex\bin;C:\WINDOWS\system32;C:\WINDOWS;C:\WINDOWS\System32\
Wbem;f:\Program Files\Subversion\bin:f:\R\svn\R-devel\R\bin

In a Cygwin bash shell I use this path:

$ printenv PATH
$ printenv PATH
/cygdrive/c/Rtools/bin:/cygdrive/c/Rtools/perl/bin:/cygdrive/c/Rtools/minGW/bin:/usr/local/bin:/usr/bin:/bin:/usr/X11R6/bin:/cygdrive/c/util/misc:/cygdrive/c/windows/system32:/cygdrive/f/R/svn/r-devel/R/bin:/cygdrive/f/texmf/miktex/bin:/cygdrive/c/progra~1/htmlhe~1:/cygdrive/f/program 
files/subversion/bin