Have you used the DOS-prompt at all? If you have at least grasped the concept: Do you wish to learn about using Linux, or even use the extensive and free possibilities that opens up with such an environment – then this is one way to get to it!
Cygwin – available at http://www.cygwin.com – is basicly a POSIX emulation layer, more detail is here. There is a huge set of already compiled programs to download – so it isn’t necessary to use compilers and such stuff to begin with. But, provided that you know how to at least compile your own software, you can freely add to it too. It is only when you wish to have some more obscure package available that it might be necessary though.
Cygwin runs all from a single bash shell (containing a comprehensive set of command line tools and utilities) to the X Window system – according to your liking. The documents available at http://tldp.org all applies, with just minor differences (e.g. device names). These differences are described in the Cygwin user guide.
How to install, upgrade and remove from it:
On the web site you can read on the front page:
“Run setup.exe any time you want to update or install a Cygwin package.”
As you run Setup, you will be prompted for paths and urls for local package and install location directories, a web site to download packages from.
Assuming you are somewhat familiar with this there should be no problem. One of the more important settings is the one regarding line endings – stay Linux/Posix compliant there. Also, if you have the choice, choose to log in as a user with rights to “install for all users” before you install – tell Setup that you wish to have such an installation.
When the package selection window comes up, THE FIRST TIME; do nothing but click “Next” and you will have the very basic “Base” set of tools be installed (I’m not sure this is necessary any longer, but I believe it to be a good way to start). From second Setup run onwards you can add anything to your liking. The sad part here is that if you aren’t familiar with Linux/bash tools – this would be hard, as you don’t know what the various tools, utils and programs do. Off you go to read up on bash, Linux and X – choose the part that you find most interesting.
One more note though: As this an EMULATED environment, some things ARE slow; though MOST things runs smoothly at least.
After installing the Base package you will end up with a “bash” promt as you click the new desktop icon (or select the Start menu item for Cygwin).
As stated before, http://www.tldp.org/ contains a load of information, “starting with bash” and “advanced” bash stuff is described in at least two guides here. These will have you up and runing fairly fast – unless you’re a true beginner.
 more than one can be selected, being alternatives or such that supply additional packages – provided by others.