cygwin's ssh-add returns "Could not open a connection to your authentication agent."

Question

I have started ssh-agent:

$ ssh-agent.exe
SSH_AUTH_SOCK=/tmp/ssh-LagrQoD3JRqg/agent.3600; export SSH_AUTH_SOCK;
SSH_AGENT_PID=7784; export SSH_AGENT_PID;
echo Agent pid 7784;

Next I try to add a key:

$ ssh-add /cygdrive/h/mykey.pem

The response I get is:

Could not open a connection to your authentication agent.