'Clion projects are not running

Basically all projects are run only on Clionprojects file. BUT if I save the project in different file, then it shows me that I need to add configuration. I installed cygwin and all what I need like gcc-core, gcc-g++, gdb, make.

In the console it says:

CMake Error: The source directory "file path"" does not exist.
Specify --help for usage, or press the help button on the CMake GUI.

CMake Error:
  ------------------------------------------------------------------------------------
  Selected CMake might be incompatible with the Cygwin environment.
  In order to run on Cygwin, CMake needs to be specially compiled.
  Please select either CMake bundled with CLion or CMake from the Cygwin installation.
  ------------------------------------------------------------------------------------

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