Here's a quick how-to to get you going with Cygwin:
- In your host machine's browser, download the appropriate setup*.exe file for your version of Windows from http://www.cygwin.com/.
- Double-click on the setup icon to begin the installation. For the most part, just accept the defaults until you get to the Package selection screen. (The one exception will be the screen where you select a download mirror.)
- At the top of the Package selection screen, select Category from the View menu.
- Expand the Net category, as shown in the following screenshot:

- Scroll down until you see the openssh package. Under the ...