Please verify that no errors appears in this log file 
Command executed: 
"C:\Program Files\CiaoDE\makedir\runwin32.bat" "C:\Program Files\CiaoDE\build\objs\Win32i86\ciaoengine.exe" "C:\Program Files\Emacs\emacs\bin" 
Output:  
{ERROR (system_extra): (cd ../emacs-mode ; "/cygdrive/c/Program Files/Emacs/emacs/bin/emacs.exe" -batch -l word-help.el -l ciao.el -f compile-ciao-mode) >../emacs-mode/emacs_mode.log 2>../emacs-mode/emacs_mode.err returned code 127}
{ERROR (system_extra): In set_perms/2, file '../emacs-mode/ciao.elc' not found}
{ERROR (system_extra): In set_perms/2, file '../emacs-mode/word-help.elc' not found}
:: Compiling emacs library files
Adding c:/Program Files/Emacs/EmacsW32/lisp/ to load-path
Searching for program: no such file or directory, /cygdrive/c/Program Files/CiaoDE/ciao/../build/objs/Win32i86/sh.exe
:: Building header to /cygdrive/c/Program Files/CiaoDE/build/objs/Win32i86/ciaoengine.exe
:: Building .bat files for the top-level and compiler