This will open the initial setup for Cygwin environment, which by default only includes the basic items needed.
Just double click on this when you are ready to get started. You need to start by downloading the Setup.EXE file from the main site listed above. OK with that out of the way, we can begin. The catch is that you can't just run any Linux program you want you have to build or compile everything you will want to use from source to get it to work in Cygwin environment properly (and even then it is not guaranteed it will work if it was never designed for Windows/Cygwin).
This is done through the cywin1.dll which allows you to run many programs not originally designed for Windows (i.e. Cygwin is like a Linux emulator for Windows, in that it creates a Linux API environment within your windows environment to provide a lot of Linux API functionality (not 100% but close). EXE file for Windows to make this magically work (probably a virus if you find one or it is very outdated).
In order to pull this off properly we will need to setup a Cygwin environment on our Windows machine, as there is NO supported. Today I will show you how to setup the parallel threaded multi-protocol cracker known as THCHydra to work under a Windows 7 environment. UPDATED: Now includes video for getting XHYDRA working on Backtrack 5 at the bottom!