Use Cygwin when you can't use Linux
Maybe a certain application requires that you use Windows, or perhaps you're forced to use Windows at work. Regardless of the reason, if you've become attached to your Linux and open source applications, rest assured that you can use Cygwin to run most of those applications on Windows.
Cygwin is an environment for Windows, similar to Linux, that provides a Linux API emulation layer and a collection of tools that are normally only available on systems that use open source tools, such as Linux, the *BSD's, and Mac OS X.
To begin using this environment, visit the Cygwin Web site and download the installer--the setup.exe file.
Once this component is downloaded, double-click it and choose the Install From Internet option, which will download only the packages you want to install. You'll need to specify the root environment of the installation, where packages will be downloaded to, and a mirror site from which to download packages.
After you've picked a mirror, the installer will download some base files and allow you to select packages from various categories.
Here you can choose what shells, text-processing tools, databases, desktop applications, and other programs that you'd like to install. Since Cygwin comes with an X server, you can even install GNOME and KDE programs. Better yet, you can compile your own programs to run under Cygwin by installing gcc and friends.
Cygwin will dutifully download and install all of the packages that you select. When the download process is complete, you can fire up Cygwin and an initial bash shell by clicking the Cygwin icon on your desktop.