Configure Cygwin so simple, follow the below steps :-
Download Cygwin from Here, Upload File to the windows Server and Run the setup.
Should privilege separation be used? (yes/no) yes
new local account ‘sshd’? (yes/no) yes
Do you want to install sshd as a server? Yes
Enter the value of CYGWIN for the daemon:  (DON’T ENTER ANYTHING, PRESS ENTER)
Do you want to use a different name? (yes/no) no
Create new privileged user account ‘cyg_server’? (yes/no) yes
Please enter the password: ENTER YOUR PASSWORD HERE
Reenter: RE-ENTER YOUR PASSWORD
Using Command Prompt ( cmd )
Start ssh by –> net start sshd
Stop ssh by –> net stop sshd
Another way posted by my friend Maaz you can check it here.