What are you going to be doing in the term? Shell scripting practice?

I've never personally had good success with cygwin. I second nx2000det's suggestion of running a distro in a VM. Take a look at Oracle VirtualBox also, its a free virtual environment. You can boot the ISO as a live image as he suggested, or just install the distro. If youre going to use it was a live image within a VM then just connect the iso as a drive.