Cygwin

Installation
Download and run setup.exe - install it in C:\cygwin (It doesn't really like paths with spaces like ' ')

Install these packages:

Category     Packages Archive/     zip, unzip Devel/       cvs Editors/     vim Interpreters/ python Net/         openssh Web/         wget X11/         X-start-menu-icons, xorg-x11-fscl, xwinclip

Edit Startup Script
I like to use xterm and have an XServer ready for use. Furthermore, I have my 'homedir' in. So, we change  accordingly:

@echo off

C: chdir C:\cygwin\bin set HOME=C:\schmid    <- insert this

rem bash --login -i   <- comment this out call c:\cygwin\usr\X11R6\bin\startxwin.bat

And symlink  - we start bash and enter: $ ln -s /cygdrive/c /home

If you want to have your homedir in, you could do something like this:

set "HOME=C:\Documents and Settings\username"

and then use junction from SysInternals for linking a home directory in the cygwin directory to Documents and Settings (otherwise the spaces will be annoying!!!)

C:>"\Program Files\Sysinternals\junction" c:\Cygwin\home "c:\Documents and Settings"

Setup SSH
$ mkdir .ssh

... write something ...