There's no such thing as "Windows32" binaries.

Say explicitly that the instructions here are not for Cygwin.

nt/INSTALL

@@ -8,8 +8,8 @@
 * For the impatient
 
   Here are the concise instructions for configuring and building the
-  native Windows32 binary of Emacs on Windows, for those who want to skip
-  the complex explanations and ``just do it'':
+  native Windows binary of Emacs, for those who want to skip the
+  complex explanations and ``just do it'':
 
   1. Change to the `nt' directory (the directory of this file):
 
@@ -75,6 +75,11 @@
 
 * Preliminaries
 
+  If you want to build a Cygwin port of Emacs, use the instructions in
+  the INSTALL file in the main Emacs directory (the poarent of this
+  directory).  These instructions are for building a native Windows
+  binary of Emacs.
+
   If you used WinZip to unpack the distribution, we suggest to
   remove the files and unpack again with a different program!
   WinZip is known to create some subtle and hard to debug problems,