Can't do pg_dump(all)

I've had this problem for a while now in different forms: Basically, I can't get
any of the utilities to recognize anything. I just tried %pg_dump > afile.out
and got this error message:

psql: connectDBStart() -- connect() failed: No such file or directory
        Is the postmaster running at 'localhost' and accepting connections on
Unix port 5432?

I'm running cygwin on NT 4.0 and pg 7.0.3. I've tried any combination of things
in the pg_hba.conf file. Any ideas?

LB