I suspect that you are going to find that the file /cygdrive/e/examples/example_install/gtf-launch has been succesfully built, and that for some reason it's not being located for execution.
Assuming this is the case, then this is likely to be something to do with the configuration of your PC. It would be worth checking to see if there's anything peculiar about the setup of your E drive (you may want to try an alternative drive by way of a test).
You should also run the 'mount' command from within your SDK shell to see if there's anything unusual about how the E drive is being mounted.
If you can't get to the bottom of this, then please provide as much information as you can about the versions of the tools you are using, which version of windows you are using, what version of cygwin you are using, the output of the mount command etc.
That may help us get to the bottom of this.
In answer to your second question, the only GNU tools required to build eCos for Nios II are those provided with the kit.