There’s no reason to complicate things with Cygwin. Go download and install a TeX distribution for Windows – I personally use TeX Live, but various other distributions are available, such as MikTeX or W32TeX.
If you want to use UTF-8 for your bibliography, and you’re using BibTeX, I recommend using bibtexu instead of the regular bibtex (since bibtex doesn’t actually support UTF-8). There’s a download on the W32TeX site.