[exim] Building exim-4.66

I have downloaded the newest version of exim, 4.66 and trying to build it.
I have run into the following make problem, regarding the PAM module.

I have put in my ../Local/Makefile the following line, in hopes to get past the
pam buid problem, but it had no effect.
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SUPPORT_PAM=no
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The error I am getting is this:
make[2]: Entering directory `/usr/src/exim/exim-4.66/build-CYGWIN-i386/auths'
gcc auth-spa.c
gcc b64decode.c
gcc b64encode.c
gcc call_pam.c
call_pam.c:30:31: security/pam_appl.h: No such file or directory
call_pam.c:66: warning: "struct pam_response" declared inside parameter list
call_pam.c:66: warning: its scope is only this definition or declaration, which is probably not what you want
call_pam.c:66: warning: "struct pam_message" declared inside parameter list
call_pam.c: In function `pam_converse':
call_pam.c:72: error: `PAM_CONV_ERR' undeclared (first use in this function)
----

Any advice or thoughts as to how I can solve this are appreciated.

Regards,
Darel Henman