Download and run the Cygwin setup file.
Select Install from Internet.
Enter C:\cygwin as the Root Directory.
When you get to the package list, search for rxvt and click the word skip so that it changes to a version number.
Add any other packages you want. I always install at least these:
Create a new file called C:\cygwin\rxvt.bat and add these contents.
Replace “Craig” with your user name. If you don’t like large fonts or Lucida Console, you can change that as well.
Create a desktop shortcut to C:\cygwin\rxvt.bat and change its icon to C:\cygwin\bin\rxvt.exe.
The default colors aren’t that great. You can copy my .bashrc, .dircolors, and .Xdefaults from my dotfiles github repository or you can create your own.