It should be in the root of the Pd source, in pd/autogen.sh, not pd/src/autogen.sh. If its not there, then the source is not complete, and you can get it from git.autogen.sh is only present in a number of cygwin/usr/share/doc/gettext/examples/....
You need to include the ./ since it is a local script like ./configure. So its:
./autogen.sh
./configure
make
.hc
.hc