This page covers the installation of Cygwin on MS Windows:
Cygwin is based at www.cygwin.com. They have an installer that is relatively easy to use.
First you need to download the setup program. You can go to www.cygwin.com and press on the icon that says "Install Cygwin now", or you can press on the icon at the left.
You will have to save the setup program somewhere on your computer. Make sure to save it in a folder/directory that you can easily find.
Find wherever you saved the cygwin setup program and run it.
The setup program itself will guide you through most of the setup and is mostly self-explanatory:
The setup program will popup a shell window that will run for a minute and then a dialog box will popup telling you that the setup is complete.
The Cygwin icon on the desktop will startup a cygwin shell. Double-click the icon and you should see a shell with a dollar sign prompt.
Type a simple command such as ls --help (two dashes) in the cygwin shell and press the return key. You should see a bunch of text describing all the options to the ls command.
At this point you know that Cygwin was successfully installed. Now you can install the additional packages that you want.