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Cygwin is a Unix-like command line interface (CLI).  It can be used to interact with the local operating system to perform computer management or programming related tasks.  Here is how to install Cygwin.

Open a browser and navigate to http://www.cygwin.com/

Download the setup.exe file located on Cygwin's home page (see image).

Using the Windows file explorer browse to the folder location where you saved setup.exe.

Right mouse click setup.exe and select "Run as Administrator".  If Windows displays the User Access Control prompt click "Yes" or "OK" to proceed.

Cygwin will display the following popup window.

Click the "Next" button.

At the "Choose A Download Source" popup click the "Next" button.

Type "c:\cygwin" in the Root Directory text box in the Select Root Install Directory popup then click the "Next" button.

Type "c:\cygwin" in the Local Package Directory text box in the Select Local Package Directory popup then click the "Next" button.

Make sure "Direct Connect" is selected and click the "Next" button in the Select Your Internet Connection popup.

In the Choose A Download Site window select "http://mirrors.xmission.com".  Any of the listed sites will probably work.  Click the "Next" button.

Click "Next" in the Select Packages Popup.

Click "Finish" in the Create Icons popup.

This process should create an icon on your Windows desktop labelled "Cygwin".  You should be able to double click the new icon and begin using Cygwin.