After the installation, run cygwin, cd to this directory (/cygdrive/c/.../openclonk/docs/) and run make. The process takes a few minutes to complete.
The online version of the documentation has been generated into the online/ directory.
To build the .chm files, install the html help compiler from http://www.microsoft.com/en-us/download/details.aspx?id=21138 or http://go.microsoft.com/fwlink/?LinkId=14188 and run make chm HHC=/path/to/hhc.exe