Today when I tried to build wxWidgets with MinGW, I kept running into this wired problem.

process_begin: CreateProcess(....) failed. make (e=2): The system cannot find the file specified.

The problem was solved by reading this post http://www.allegro.cc/forums/print-thread/593750

I put Cygwin bash.exe and sh.exe into Windows PATH environment variable which make MinGW Make unhappy.