Cygwin is freely available from http://www.cygin.com. The front page of this site contains a link to a Setup.exe for the latest version. Simply download this file and execute it locally. When the installer starts, it will ask you whether you want to install from the Internet or use a local directory. Select the option to install from the Internet and specify the server to use, the directory to install it under, and where to put the temporary files.
To support tab completion and SSL sockets, make sure you have the following components selected:
If you would like to use the InlineEgg payloads, make sure that you install a recent version of Python as well.