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Running Linux Application on Windows

Hey guys, 

(Though my problem is about an application: Samhain, but my question is a
rather general cygwin question)

I'm thinking of playing around with some open source security application -
and I've shortlisted both Prelude and Samhain HIMS. But I'm not really using
Prelude as an IDS, but using it as a concentrator for my log files. 

Anyway, here's my question... Everything is smooth and nice on Linux, but
I'm kinda confuse when I wanna use Windows OS as one of my client machine in
the network. There is actually a brief documentation on how to get Samhain
run on Windows at:
HOWTO-samhain-on-windows . 

Something I do not understand is... all my "./configure && make && make
install" is done over in my /cygdrive/c/cygwin... Why do I still need to
create a bunch of empty directories (/usr/local/sbin, /usr/local/var,
/usr/local/tmp, /usr/local/log, /usr/local/etc) at /cygdrive/c

Then it tells me to create a service (using Windows registry) linking to an
empty directory /cygdrive/c/usr/local/sbin... Is the documentation kinda
wrong? LOL.. Is it all the while whenever it mention /usr/local/* it means
/cygdrive/c instead of /cygdrive/c/cygwin ?

And why if I wanna run the application, we must first create a service
first? Is it some kind of permission that have to be set in a Windows

It is my first time installing Linux application on a Windows platform.
Please advice.

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