This is a guide to install Cygwin and its required tools. https://mindchasers.com/dev/openocd-darsena-windows. 

Be sure to obtain the Development Libraries, and select the one with MinGW:

1.) Copy the library files from the x86_64-w64-mingw32/lib to C:/cygwin64/lib:

2.) Copy the entire SDL2 folder from /x86_64-w64-mingw2/include into c:/cygwin64/lib/gcc/x86_64-pc-cygwin/10/include:

Make sure the SDL2 folder is inside that include directory. Do not copy all its contents into the include folder - just put the folder inside.

3.) Finally, copy the x86_64-w64-ming32/bin/*.* to the C:/cygwin64/bin:

As mentioned - git clone the U8G2. :)

CFLAGS = -g -Wall -I../../../csrc/.

SRC = $(shell ls ../../../csrc/*.c) $(shell ls ../common/*.c ) main.c 

OBJ = $(SRC:.c=.o)

LIBSDL = -lSDL2main -lSDL2

helloworld: $(OBJ) 
	$(CC) $(CFLAGS) $(LDFLAGS) $(OBJ) -o u8g2_sdl.exe $(LIBSDL)

clean:	
	-rm $(OBJ) u8g2_sdl

Modify the both C files:

- u8x8_d_sdl_128x64.c

- u8x8_sdl_key.c

The include should be "SDL2/SDL.h" instead of "SDL.h"

#ifndef NO_SDL
#include "SDL2/SDL.h"
#endif

/* return ascii key value or -1 */
int u8g_sdl_get_key(void)

#include "u8g2.h"
#include <stdio.h>

u8g2_t u8g2;

int main(void)
{
  int k;
  
  u8g2_SetupBuffer_SDL_128x64_4(&u8g2, &u8g2_cb_r0);
  u8x8_InitDisplay(u8g2_GetU8x8(&u8g2));
  u8x8_SetPowerSave(u8g2_GetU8x8(&u8g2), 0);  
  u8g2_ClearBuffer(&u8g2);

  for(;;) {
	  
	u8g2_FirstPage(&u8g2);
    do
    {
      u8g2_SetFont(&u8g2, u8g2_font_6x12_tf);
	  u8g2_DrawStr(&u8g2, 5, 17, "hello world 123");
	  u8g2_DrawStr(&u8g2, 5, 27, "abcabcabc");
	  u8g2_SetFont(&u8g2, u8g2_font_open_iconic_embedded_1x_t);
      u8g2_DrawGlyph(&u8g2, 2, 56, 0x0041);
      
    } while( u8g2_NextPage(&u8g2) );
	
	do
    {
      k = u8g_sdl_get_key();
    } while( k < 0 );
  
	if ( k == 'q' ) break;
  }
  return 0;
}

It should look something like this when it compiles all right:

You will see this: