mdp needs the ncursesw headers to compile.
So make sure you have them installed:
-- On Ubuntu/Debian you need `libncursesw5` and `libncursesw5-dev` to be installed.
+- on Ubuntu/Debian you need `libncursesw5` and `libncursesw5-dev`
+- on Cygwin you need `libncursesw10` and `libncurses-devel`
Now download and install mdp: