3. Configure OCaml with
  bash -c "./configure -cc 'gcc -mno-cygwin' -host 'i586-pc-mingw32' \
           -tkdefs '-Ic:/Tcl/include' -tklibs '-Lc:/Tcl/lib'" 

Of course paths to tcl/tk may vary. You will also need to create import
libraries from tcl/tk DLLs using impdef/dlltool from the Cygwin
distribution.

If you do not need working labltk, simply omit -tkdefs/-tklibs above.

4. Build and install ocaml as usual:
  make world
  make opt
  make install

It *should* work. At least I was able to rebuld ocaml itself (make bootstrap)
and get working labltk tools (ocamlbrowser etc.)

Hope to hear from you soon,
Dmitry