Get that Linux feeling - on Windows
Installing and Updating Cygwin Packages
Installing and Updating Cygwin for 32-bit versions of Windows
Installing and Updating Cygwin for 64-bit versions of Windows
Run setup-x86_64.exe any time you want to update or install a Cygwin package for 64-bit windows. The signature for setup-x86_64.exe can be used to verify the validity of this binary using this public key.
General installation notes
When installing packages for the first time, setup*.exe does not install every package. Only the minimal base packages from the Cygwin distribution are installed by default, which takes up about 100 MB.
Clicking on categories and packages in the setup*.exe package installation screen allows you to select what is installed or updated.
Individual packages like bash, gcc, less, etc. are released independently of the Cygwin DLL, so the Cygwin DLL version is not useful as a general Cygwin release number. The setup*.exe utility tracks the versions of all installed components and provides the mechanism for installing or updating everything available from this site for Cygwin.
Once you've installed your desired subset of the Cygwin distribution, setup*.exe will remember what you selected so rerunning the program will update your system with any new package releases.
On Windows Vista and later, setup*.exe will check by default if it runs with administrative privileges and, if not, will try to elevate the process. If you want to avoid this behaviour and install under an unprivileged account just for your own usage, run setup*.exe with the --no-admin option.
The setup*.exe installer is designed to be easy for new users to understand while remaining flexible for the experienced. The volunteer development team is constantly working on setup*.exe; before requesting a new feature, check the wishlist in the README.
Q: Is there a command-line installer?
A: Yes and no. The setup*.exe program understands command-line arguments which allow you to control its behavior and choose individual packages to install. While this provides some functionality similar to such tools as apt-get or yum it is not as full-featured as those packages.
The basic reason for not having a more full-featured package manager is that such a program would need full access to all of Cygwin's POSIX functionality. That is, however, difficult to provide in a Cygwin-free environment, such as exists on first installation. Additionally, Windows does not easily allow overwriting of in-use executables so installing a new version of the Cygwin DLL while a package manager is using the DLL is problematic.
Q: How do I install everything?
A: You do not want to do this! This will install an enormous amount of packages that you will never use, including debuginfo and source for every package.
Clicking on the "Default" label next to the "All" category to change it to "Install" will mark every Cygwin package for installation. Be advised that this will download and install tens of gigabytes to your computer.