From standard cmd, the unquoted original works just fine. If doing so in cygwin, however, you must quote the value and remove set:
INCLUDE="C:\deps\libpng-1.6.8;C:\deps\openssl-1.0.1e\include"
In Windows cmd:
c:\>set INCLUDE=C:\deps\libpng-1.6.8;C:\deps\openssl-1.0.1e\include
c:\>echo %INCLUDE%
C:\deps\libpng-1.6.8;C:\deps\openssl-1.0.1e\include
...in cygwin:
[user@machine /]> INCLUDE="C:\deps\libpng-1.6.8;C:\deps\openssl-1.0.1e\include"
[user@machine /]> echo $INCLUDE
C:\deps\libpng-1.6.8;C:\deps\openssl-1.0.1e\include