Okay, so you have decided to go for the heavy-weight Cygwin.
It is good, but I do think it is huge/ not feasible for download/install etc..
But if you have it, from the internet/a CD, the default install will not install anything useful. So you must manually select all packages and install all of them (I didn't know which particular packages will work!).
This image will help you do it:
Click on the Default at the top... It will change to Install. That's about it.
Now my install took about 2 GB of space!
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