Here are some tips for Cygwin environment
Updated 12/26/2010
When I edited .bash_profile, I get the message "': not a valid identifier" every time I start Cygwin. It turned out that bash shell does not like DOS style new line '0x0d0x0a'. Use "dos2unix.exe" to remove "0x0d", i.e. "dos2unix .bash_profile".
By using "startxwin", you get only a single xterm window. Note that when you close the window, XWin.exe is not terminated (this is the XServer process) even if you close xterm window. I had to terminate the process.