I got cygwin running on my XP desktop.. (I ususally use LINUX desktop on my left. I usually used the LINUX box to connect to all my different servers I administer).
I did get cygwin installed and running but it's tooo slow for me.. and I still couldn't get the cut and paste ablilty from console to Windows document. (For future reference and documentation purposes). I still have to use TELNET for that.
The is also a cygwin addon called BlackBox, which you can, but it's only a single window. (Unlike LINUX in which you can have multiple desktops. I tried to get around this by downloading in installing a multiwindow environement for XP... it is VERY LIMITED... and slow. Especially when you have TOAD and OEM running at the same time.
Good luck and sorry I can't be of more help.
OCP 8i, 9i DBA