After some researching I found that although bind works in cygwin the /etc/resolv.conf is not created. You have to do that manually. I created the file (see example below) and the commands now work fine. Figuring out your nameservers is up to you for now.
This was on Windows Server 2003 SP2 using CYGWIN_NT-5.2 forsrayd 1.7.1(0.218/5/3).
My resolv.conf (valid ips removed):