E.g. if we need to compile libpython24.a it means we need to fetch the Python sources themselves first.
Actually, no, you don't need the sources. See:
for a script that builds libpython24.a from the python24.lib distributed with Python for Windows.
Previously I built libpython24.a; it can be downloaded from my website. See http://bonsai.ims.u-tokyo.ac.jp/%7Emdehoon/software/python/cygwin.html