Cygwin is a great medium to take advantage of Linux tools without actually having to install Linux. If you are a newbie trying to get your feet wet with Linux system, installing Cygwin should be a primary choice. You can run anything from text processors to web servers to development tools within the comfort of a familiar Windows environment. The only negative for us the whole way Cygwin handling of the installing/uninstalling process of applications. You have to manually go through a list of apps and check/uncheck them every time you want to install an app. This can be a major pain.
However there are unofficial command line package managers available that is more in line with how you would install a package on a non-gui Linux system. apt-cyg is one of the more widely used package managers out there. Installing a package/app is as simple as running
apt-cyg install nano which as you can see is inspired by apt-get package manager of Debian based systems. You can also run:
apt-cyg install to install packages
apt-cyg remove to remove packages
apt-cyg update to update setup.ini
apt-cyg show to show installed packages