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.
You are a star \O/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.
http://www.cygwin.com/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.