Cygwin downloads its files from "mirrors" (external servers). Choose any URL from the list.
A screen will show you all the dependencies required for your chosen packages. Click "Next." how to download cygwin on windows
You can now open any terminal and use Linux-style commands immediately. If you'd like to customize your setup further, tell me: you need (e.g., Python, Ruby, C++) Cygwin downloads its files from "mirrors" (external servers)