Hi,
The last few times I've installed Cygwin on Windows (Windows Vista, Windows 7, and Windows 8) - I have ended up with a shortcut to a "Cygwin Bash Shell". For some reason, my most recent install does not seem to have generated that shortcut. For now, I'm running the C:\cygwin\bin\bash.exe directly from Windows Explorer, and have added C:\cygwin\bin to my Windows %Path% environment variable, which seem to work okay. Is this a valid workaround?
-Ethan