You could look at this posting http://www.cygwin.com/ml/cygwin/2003-05/msg00692.html and its follow-up http://www.cygwin.com/ml/cygwin/2003-05/msg00705.html. They are part of a longish thread in May 2003. It is possible to build a portable CD incorporating hand-picked Cygwin bits and pieces. It is also possible to copy a complete Cygwin installation to one CD (omitting XFree and TeX, simply because of their size) but this turns out to be a bit clanky because of the difficulty of forecasting what bits might require to write to disk, and how to cope with that requirement. Better by far to design your own hand-built CD by an iterative process. The difficult bit is using the CD on a machine that already has Cygwin installed on it. (Even worse, on a machine that has *somebody*else's* Cygwin installed on it, which perfect installation you won't want to trash, will you.) But it's possible, and the thread talks about that too.
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