the first way to find it that popped into my mind was to execute
:scriptnames
your .vimrc should be the first script mentioned
~/.vimrc as on Unix.
regards,
Christian
--
If you don't have the .vimrc in your home directory, you can create
one from scratch.
A better way may be copy the one found in your Linux box to your
cygwin home directory.
The cygwin is considered unix environment and .vimrc should be in your home.