pdf can't be made..?

[Thorkil Wolvendans]

Hello everyone!
I just installed Lilypond 1.8 (cygwin edition), and tested 'Petite 
Ouverture a Danser' with it (example file on the website). Now, it seems to 
work allright, but it doesn't make a pdf file. Could it have something to 
do with Latex? When installing from the cygwin setup program, I installed 
every program available (just for fun - one's harddrive has to be filled! 
;), I don't know if that is of any importance. Below's the log...
Thanks in advance,

Thorkil
-------------------------
$ ly2dvi -p petite.ly
ly2dvi (GNU LilyPond) 1.8.0
Running /usr/bin/lilypond...GNU LilyPond 1.8.0
Now processing: `petite.ly'
Parsing...
Interpreting music...[8][16][24][32][40][47]
Preprocessing graphical objects...
Calculating line breaks... 
[3][6][9][12][15][18][21][24][27][30][33][36][39][42]
[45][47]
paper output to `petite.tex'...
writing header field `title' to `petite.title'...
writing header field `subtitle' to `petite.subtitle'...
writing header field `composer' to `petite.composer'...

Interpreting music...
MIDI output to `petite.midi'...
Track ...

Analyzing petite.tex...
Running latex...cannot create /dev/stderr: directory nonexistent

ly2dvi: error: LaTeX failed on the output file.
ly2dvi: error: The error log is as follows:

LATEX output to `petite.latex'...
MIDI output to `petite.midi'...
TEX output to `petite.tex'...