I installed Cygwin a couple hours ago and I added the bin directory to my autoexec.bat path setting. Put it at the end so that the UNIX commands wouldn't override MS commands with the same name.
What MS commands? :-) There are so few of them! Personally I put C:\Cygwin\Bin first in my Windows System Environement Variable PATH (Right click My computer, select Properties: Advanced: Environment and make sure you set the System, not the User, PATH variable). This also allows services to find things (like inetd).
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