A couple of days ago I installed Cygwin because I wanted a way to run UNIX applications in Windows. Cygwin sets up a UNIX-like directory with the root, /, wherever it is that you install it (by default, C:\cygwin).
Example of usage: to get SSH access to my server, I normally use PuTTY. But after I installed the OpenSSH Cygwin package, I could just do this from the Cygwin command line:
~ ssh my_server_username@my_server.homeip.net
For that to work, I had to set up a .ssh directory in my Cygwin user folder, namely C:\cygwin\home\my_Windows_username\. But you can't set up directory names that start with a dot in Windows XP. Instead, you can set up the \home\my_Windows_username part, and then from the Cygwin window, you just do this:
~ mkdir /home/my_Windows_username/.ssh
Of course Cygwin, like UNIX and unlike Windows, is case-sensitive. I copied my id_dsa private key from the USB stick here, and I was in business. As soon as the server recognized my key, Cygwin created a known_hosts file as well. So far, very UNIX-like. Took me a while, though, to figure out how Cygwin emulated the UNIX directory structure. Google took me here, and then all was well.