How to get rid of QueryServiceStatus: Win32 error 1062 when you try to start sshd on Cygwin?

Question

I installed Cygwin and sshd on Windows 7 but I'm not able to make it work.

I followed the guide from http://www.noah.org/ssh/cygwin-sshd.html but I still get:

$ cygrunsrv -S sshd
cygrunsrv: Error starting a service: QueryServiceStatus:  Win32 error 1062:
The service has not been started.

Configuration details:

• Windows 7 in a domain running with a domain user that has local administrative priviledges
• netstat -a -b reports nothing running on port 22
• C:\cygwin\var\log\sshd.log is empty
• After I installed cygwin and sshd, I run ssh-host-config -y
• Already tried to add SYSTEM account to the 3 directories, no change.
• Already tried a full system reboot, no change

Update: Windows logs complains about Possible duplicate cygwin1.dll