It isn't working in my case (C::B 8.02). I tried to put the path everywhere reasonable. I guess the problem is that C::B isn't still fully integrated with CygWin. As I said, the compiler finds the includes easily, but C::B don't. Rightclicking on a #include<vector> (for example) and choosing the "open #include<vector>" don't work, unless the path is specified as I mentioned in the first post.
Regards
Grzegorz Kimbar