1 : What is it?

Cygwin is:

• a collection of tools which provide a Linux look and feel environment for Windows.

• a DLL (cygwin1.dll) which acts as a Linux API layer providing substantial Linux API functionality.

2: It isn't

Cygwin is not:

• a way to run native Linux apps on Windows. You must rebuild your application from source if you want it to run on Windows.
• a way to magically make native Windows apps aware of UNIX?functionality like signals, ptys, etc. Again, you need to build your apps from sourceif you want to take advantage of Cygwin functionality.

3: 

The Cygwin DLL currently works with all recent, commercially released x86 32 bit and 64 bit versions of Windows,

starting with Windows XP SP3.

The project website is:

http://www.cygwin.com/