Installing CygWin is not like your average windows program. I had trouble figuring it out, hopefully this helps. I plan on doing a video as well as this is mostly a GUI related post. (Hence the Pictures).

https://www.youtube.com/watch?v=gDEAu3oPcR0

Downloads:
https://www.cygwin.com/setup-x86_64.exe

Install:

 

virt-manager 
xinit 
openssh 


Note: I found I had to select install all for each term and then download packages, restart process and download packages for next term. Thankfully we can use general terms and it add's dependancies automatically. 

Note: Make sure to create shortcuts on desktop at the end of installation