GCC programming: header pthread not found but installed

[Serethos]

I want to program with gcc and the Posix-Thread library under XP via 
Cygwin. But the very basic program

#include <pthread.h>
int main()
{
    return 0;
}

fails with a gcc call like:
gcc test.c -lpthread

with the
error: pthread.h: no such file or directory

But the header does exist in the \usr\include directory, also the 
library itself (libpthread.a) is located under
the directory \cygwin\lib. At least I checked my Windows environment 
variables, there both directories are
set. The thing I am irritated is that standard includes like math.h are 
in the same directory (\usr\include) and
I can work with them.

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