Install the Cygwin compiler before you install Rational Rhapsody. The compiler is available from http://www.cygwin.com.
For instructions on how to install the Cygwin compiler, see http://www.ibm.com/support/docview.wss?uid=swg21416772.
After you have installed the Cygwin compiler, during the installation of Rational Rhapsody you set the path to your Cygwin installation.