I would also recommend learning PowerShell. Your knowledge of bash will not help you through it, but it's easily as powerful as bash, and native to the Windows environment.

The problem with PowerShell is that it's a Windows thing. Whatever you learn will only be useful on Windows and everything you develop with it will tie you further to the platform (and make it harder for you to move on once something better for you appears)

Seriously, it's much smarter to just install Cygwin and forget about Windows-only solutions. You are probably going to deploy whatever you develop on Unix-like servers anyway...

Personally, I find Cygwin to be a horrible substitute for a real Unix, in large part because so many emulated Unix operations like fork() are horribly slow. Sometime try running a "configure" script, and see how much slower it runs than on Linux or Mac OS X on similar hardware.

I love cygwin even though, as another guy points out, is has many little deficiencies that may or may not give you trouble.

Recently I wanted to hitch three Windows machines in my house together to make a Hadoop cluster, and I first tried to do it with Cygwin. I ran into a lot of trouble so I just used Virtualbox to run Linux on the machines; I take a performance hit, but it works pretty well.