PIL error: IOError: decoder jpeg not available

After installing PIL on Cygwin, I ran into the following error while I am trying to load data from a JPEG file.
IOError: decoder jpeg not available
To solve this problem I did the following steps:
Remove the installed PIL from Cygwin:
rm -rf /usr/lib/python2.5/site-packages/PIL
rm /usr/lib/python2.5/site-packages/PIL.pth

Install libjpeg by using Cygwin setup.exe

Rerun PIL setup.py install.