1. Install X ming

 Cygwin comes with an X server (what you need to display X windows on your computer). This package however does not have a current maintainer and sometimes has issues. I recommend installing XMing, an open source X server that shares the same code base as the Cygwin X server. (I would recommend downloading Xming and the XMing-fonts).

 Just click on http://sourceforge.net/project/platformdownload.php?group_id=156984

And download Xming and Xming-fonts. After downloading those two files you have to run them both, you can do this by double clickin on them. Just go through the installing by clicking next all the time till it’s finished. It doesn’t really matter where you put the packages.

 Install Cygwin

1. There is a set of "must-have" packages when installing cygwin for OMG purposes, I've taken the liberty of making a small .zip file with these packages to save you the trouble of finding out which packages are necessary by trial and error. The packages are available here, download the file and unzip it somewhere handy. I usually make a c:\installs\ directory and then put all installation files in there. This directory contains the files to be installed and is distinctly different from the folder in which you'll install cygwin.
2. Go to www.cygwin.com, download setup executable and run it (or get the latest version that I've used here).
3. You may want to disable your virus checker when running the Cygwin installer. Don't forget to re-enable it when you're finished installing.
4. Make sure not to start the Xserver (double click on the cygwin Icon on you desktop after installing before step 11.!!
5. Run, click next, choose "install from Internet"
6. Keep clicking next until you get to 'Available Download Sites', choose 'mirror.mcs.anl.gov'
7. The next screen will let you choose which packages: leave it as is
8. Keep clicking 'next' until everything's done.
9. You _may_ have to reboot after finishing
10. Cygwin doesn't like it if there is a space in your Windows username. If you have a space, do the following after installing Cygwin:
1. Edit /etc/passwd (using either emacs, vi, or even Windows Wordpad)
2. Find your entry (it will start with your windows username)
3. Take the space out of your username (1st entry) and your home directory (2nd to last entry).
11. Now start up your Cygwin X server, double click on the Cygwin icon on your desktop. This will create a home directory in C:/cygwin with the username you just changed in step 10.
12. Rerun install.. Browse for the downloaded packages files directory at this step, you'll need to point it to the folder where you unzipped the packages and NOT the "release" directory within the unzipped package folder. Keep clicking next until you get to choose which packages. Click '<>Default' next to All ONCE - after a second it should read 'Install'. You can choose to install all packages or the packages which are given on Jonnie’s site.
13. Click next until everything is done.

 Now just follow the next step’s on jonnie’s website. The next step is “Setting up OMG working environment”

When it doesn’t create a home directory

The Cygwin installation folder contains folders usr and bin. If there is not one already, you need to add a folder called home and in that folder add a folder with some name, typically your user name. This will be the folder where ssh.exe will look for the .ssh folder containing your keys. (Cygwin thinks your home is where the line in /etc/passwd says it is, see below).
Note that your home directory does not have to be in Cygwin's /home, you can put it anywhere. To do this, you will have to start a Cygwin console and run:

$ cd /
$ mkdir home 
$ cd home
$ ln -s /cygdrive/c/username username

Note:
The ln command creates a symbolic link, like a Windows shortcut, from Cygwin's /home/username to your C:\username folder.  Note also that /cygdrive/c/username is Cygwin's way of saying C:\username. If your HOME is on another drive, say D:, then use the cygwin prefix /cygdrive/d.

If you still have problems with your home directory have a look at: http://www.joomlawebserver.com/freebsd/remote-access/03.-creating-a-cygwin-home-drive.html