It is observed that some mirror locations that are used to download Cygwin installation files, may not install all the needed files. This is causing dependency on exact Perl and Python versions.
So please download Cygwin (Mirror to download) from http://cygwin.mirrors.hoobly.com,It will download all the files and the dependency is no longer observed.
However, as Cyswin is a very huge installation with many sub-installations that go under it, it is recommended to use Perl 5.10.1 and Python 2.6.2 versions.