Hi,
I made a change in the preprocessor so that 3rd order approx, and USE_DLL option, which both require the on-the-fly compilation of a MEX file. These options now correctly work with both Cygwin and Microsoft Visual C++ under Windows.
For those of you who use Cygwin, you need to update your mexopts.bat with the one I just put in the SVN in windows/ subdirectory.
I also wrote a wiki page on the topic: http://www.dynare.org/DynareWiki/ConfigureMatlabWindowsForMexCompilation
Best