If you have instructions on how to install to Windows natively, you should follow native instructions. Cygwin is really a way to graft particular functionality to the Windows platform because it's not natively supported.
It might be kind silly to take a UNIX-based application, graft it to an abstraction layer on Windows, and put up with (potential) compatibility conflicts if you can just install a version that was meant for and tested for Windows. Or run it in a VM running Linux natively. In the long run you'll have fewer administration/maintenance headaches and compatibility issues.
To directly answer your question, I'd say look for instructions to run XYZ in cygwin, or look for "proper" instructions on your given platform. UNIX systems is generic and you'll have to figure out paths and command mappings and such, plus you might have library differences. Instructions are generally targeted towards a particular testbed (installed on Red Hat XYZ, or Ubuntu 11.04, etc.) so paths and such won't match unless it's suitably generic and simple and you'll not have certain tools available (like hitting the step where you apt-get a package to continue.)