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When you installed B::Hooks::OP::Annotation, you would have built and installed (among other things) a file named:
Devel::Pragma assumes that /usr/lib/perl5/site_perl/5.14/i686-cygwin-threads-64int/auto/B/Hooks/OP/Annotation/libAnnotation.a would also have been built and installed ... but I *now* think that didn't happen.
So, one option is to build an import lib named libAnnotation.a (in the same directory as Annotation.dll).
You can do this by cd'ing to the directory that contains Annotation.dll and running:
(At least that's what I would run on MS Windows with MinGW, and I think it would be the same command for Cygwin.)
You probably already have dlltool (my Cygwin does) and there's a gendef package available for Cygwin if you don't already have it.
You then need to repeat the same procedure for B::Hooks::OP::Check - ie create a libCheck.a for the Check.dll that was built and installed when you installed B::Hooks::OP::Check.
With any luck, Devel::Pragma will then build straight out of the box for you. Then there's the fun of working out what the bug is, and whose responsibility it is.
Welcome to the wonderful world of ExtUtils::Depends.
In reply to Re^3: Investigating Devel::Pragma's broken install on Cygwin, need help to fix it. ExtUtils::Depends possibly guilty??