Additionally, select "All Users" and "Unix/binary", and push "Next".
The packages are organized by category. If you click "+" in the Category column, the list expands, and you can see all the packages in the category. In the "Package" column, names and brief descriptions of packages are given.
To select packages, click the "New" column of corresponding package (it should say "Skip" before you click it). Then it changes from "Skip" to a version number. Here I clicked the emacs-X11 (a text editor) in "Edotors" category. If you click the "New" column again, the version number may change to an older version. You probably want to install the latest version. If you accidentally click the "New" column more than once, keep clicking it until you get back to the latest version number.
When I clicked emacs-X11, and another package (emacs; the item above emacs-X11) got automatically selected to satisfy its dependencies (some programs/packages require other additional packages to be functional). The installer (Setup.exe) knows these dependencies, so it will automatically select other required packages.
For a bare minimum installation to use your Windows machine as a x-terminal, I suggest you to click following packages (these are the packaged required for the class):
Then click "Next".
You can install whatever you want, but I would install minimum amount of packages since it is easy to add additional packages at a later time.
From Windows Task Manager, kill the sh.exe process. There could be several sh.exe running at the same time. Try to kill the one which is taking up a lot of CPU time. You may need to do this twice (or more). After this, installation should finish. This may happen with other scripts such as /etc/postinstall/postinstall-ec-fonts-mftraced.sh or /etc/postinstall/gnuplot.sh. Write down the names of scripts you had to kill (you'll need to rerun these scripts manually later).
Change the permission from Windows Explorer by right clicking c:\cygwin, and select Property. Sorry I don't know details about Windows Vista file permission system..., but you may be able to figure it out
startxwin
After a couple seconds, you'll see another terminal, from which you can type unix command or ssh into a remote server. Do not close the first terminal, though, until you are done with the session (you can hide it because you are not going to use it).
ssh -X user@remote.server.edu
Substitute user and remote.server.edu with your real username and the server name, respectively. With -X option, you can display the Graphics from the remote server. If it does not work, try -Y instead of -X. If you are strictly using the command line programs which does not display any graphics, you do not need to use -X or -Y options.