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(2b) Download
cygwin's setup.exe from http://www.cygwin.com/ and save
setup.exe in c:\cygwin
Click Start...Run...and type c:\cygwin\setup.exe
If you are asked about "Just Me" or "All Users", choose "All Users"
When it asks for "Local Package
Directory", type
c:\cygwin
When a selection
screen comes up, (you can resize the windows to see better)
click the little
View button for "Full" view  ,
find the
package "openssh", click on the
word "skip" so that an appears in Column
B,
see this illustration.
Click to
start installing cygwin and ssh.
Size of the basic cygwin system is about 40
Meg, this may take a while.
Take a coffee break. 
(3) Right click My Computer, Properties, Advanced,
Environment Variables
See this illustration (red dots)
Click the
"New" button to add a
new entry to system variables:
variable name is CYGWIN
variable value is ntsec
(4) Right click My Computer, Properties, Advanced,
Environment Variables
See this illustration (green dots)
Select the
Path variable and click the "Edit"
button:
append  ;c:\cygwin\bin  to the end of the existing variable
string.
(5) Open a cygwin window (by double clicking the icon), a
black screen pops open, type
ssh-host-config      (on slower computers, it may take several minutes to
generate the dsa keys)
When the script asks you about
"privilege separation", answer yes
When the script asks about
"create local user sshd", answer yes
When the script
asks you about "install sshd as a service", answer yes
When the script asks you for
"CYGWIN="     your answer is ntsec
See Note 5 below if you need
to