Cygwin Installation Guide
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Installing Cygwin

First, browse to http://www.cygwin.com Click on the Install Cygwin link near the top of the teal-colored box on the left-hand side of the page and follow the instructions. Make sure you use the 64-bit version of the setup program if you have a 64-bit computer.

Answer all the questions using the default answers. You will be asked to select a location from which to download. Pick any location; some will be slow and some will be fast. Hopefully, you'll pick a fast location. At some point, you will be asked to select some packages. Click on plus signs next to:
Finally, click on the Next button in the lower right corner and continue accepting defaults.
To double-check that things are working, open a Cygwin terminal (there should be an icon on your Desktop now).