[h-e-w] subshell cd's not working

[fhew]

In the last couple of months, cd's executed by subshells have stopped
working for me.  (I'm running Cygwin's bash for a shell.)  For
instance, the M-x compile command generates the following commands:

    cd ~/proj
    make -k

However the "cd ~/proj" seems not to do anything, as the "make -k" get
executed in my $HOME directory.  If I alter the make command to
include the "cd" everything works fine:

    cd ~/proj
    cd ~/proj; make -k

I don't know just when this stopped working.  I'm running Emacs
21.2.1.

Has anybody run into this?

/Fredrik