There are programs for different toolkits available:
GUI OPTION DEPENDENCIES
Curses --enable-pinentry-curses Curses library, for example ncurses
GTK+ V1.2 --enable-pinentry-gtk Gimp Toolkit Library Version 1.2
eg. libgtk-1.2 and libglib-1.2
GTK+ V2.0 --enable-pinentry-gtk2 Gimp Toolkit Library, Version 2.0
eg. libgtk-x11-2.0 and libglib-2.0
Qt --enable-pinentry-qt Qt, eg. libqt or libqt-mt
Qt4 --enable-pinentry-qt4 Qt4
This cygwin package builds only the curses, gtk1, and gtk2 versions,
although the qt versions and perhaps the native win32 version may be
added in later cygwin releases.