As an alternative to Cygwin or possibility in conjunction to Cygwin you may want to check out
MobaXterm -
http://mobaxterm.mobatek.net/
and/or
GnuWin-
http://gnuwin32.sourceforge.net/
MobaXterm not only gives you a local terminal which is very much like Linux but it also gives you SSH, x server and more.
GnuWin gives you many of the command line tools you would expect from a Linux terminal, but they all run naively on your local Windows system.