Now that Cygwin is installed, you should install the perl modules in the "extras" subdirectory of this package. This can usually be accomplished by extracting each package via tar -zxf [file], changing into the directory, typing perl Makefile.PL, make, and make install. Tab completion makes the msfconsole interface extremely efficient.
If you have Visual Studio installed, you may need to "unset LIBS" before trying to compile anything, the double-quotes in the path will break certain Makefiles.