Download the installer from CNET:
http://download.cnet.com/Cygwin/3000-2212_4-10026629.html
Follow these instructions, they're very good:
http://www.mcclean-cooper.com/valentino/cygwin_install/
The X-windows part at the end is optional.
Then learn some fun stuff that's now possible, like grep and wget:
http://www.weekeat.com/post/24651647092/grep-basics-in-25-seconds
http://www.thegeekstuff.com/2009/09/the-ultimate-wget-download-guide-with-15-awesome-examples/
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