Licensing Note: If you request Windows install media from the MCS Help Desk, you'll need to provide a license key for a licensed copy. If you don't have one, we will inform your purchasing coordinator to purchase a license for you at a cost of $140.
You want to run the X Windows server from Cygwin. First, you must run the Setup program.
Note: You must have Administrator privileges to install Cygwin.
Click the '+' next to X11 at the bottom of the list, then scroll to xorg-x11-base, and click the arrow-circle icon such that it either says "Keep" or a version number. (If a version number, make sure it's higher than the number on the left.)
You can install any other packages that you would like, but for purposes of this document, we're focusing on X11. It will automatically install any required packages. I've expanded the above window so you can better see the list.
Press "Next" to download and install the packages.
When the download is complete, make a shortcut of c:\cygwin\usr\X11R6\bin\startxwin.bat and launch that when you need to run X Applications. When you're done with X Windows, simply close the xterm that the above script opened.