By the way, if your looking for an alternative to Cygwin so that you can have a *nix like shell on your WindowsXP or Windows 2003 server box, try Windows Services for UNIX. This thing is awesome and free!
“Gain access to a UNIX environment that runs on top of the Windows kernel. With Interix subsystem technology, UNIX application and scripts can run natively on the Windows platform alongside Windows applications.” – quote in context
If you want a full Linux system on Windows (in a window) feel free to try CoLinux.