This is the most important step. In the "Select Packages" window, search for bash and ensure it is selected. You may also want to add gcc , make , and curl at this stage.
Find the Cygwin icon on your desktop or in the Start menu. Clicking it opens a terminal window running the Bash shell. Your Windows drives are accessible via the /cygdrive/ path (e.g., /cygdrive/c/ is your C: drive). Adding Cygwin to Windows Path cygwin bash shell download
Find the needed for Python or C++ development. This is the most important step
Much lighter than running a VirtualBox or VMware instance. How to Download and Install Cygwin cygwin bash shell download