I'm forced to use a Windows box at work. To give me some Unix command line power, I use Cygwin. Very nice for use when you have no other choice.
Cygwin is ok and I have used it before when restricted on machines. With the untapped power that most machines have now you might look at running virtualbox or something similar so you can have a linux VM running on your machine. Best of both worlds so to speak.
Where did you get the executable? If you built it from source, then you will have to do some debugging on your own. If you downloaded a binary, did you download a Cygwin binary? If not, it won't run and you will either have to download the Cygwin binary or build the package from source.