O guia oficial diz:
Edit $CATALINA_BASE\bin\setenv.bat (creating the file if necessary) and add the path to the tc-native libraries, apr and OpenSSL to PATH. For example:
set PATH=%PATH;C:\cygwin\home\support\tomcat-native-current-win32-src\jni\native\Debug;C:\cygwin\home\support\tomcat-native-current-win32-src\jni\apr\Debug;C:\OpenSSL\lib\VC
E isso significa: adicione "C: \ cygwin \ home \ support \ tomcat-native-current-win32-src \ jni \ native \ Depurar" à variável de ambiente "PATH", então acredito que é onde você deve coloque este arquivo.