This article assumes you installed SSH service when you installed Cygwin.
Browse the directory in windows and do the following:
Assign "everyone" group read access to c:\cygwin\etc\group & \etc\passwd
Assign "everyone" group read + execute access to \var
Open a cygwin term and do the following:
Say yes to every prompt and when it asks about CYGWIN [ntsec] then your answer is "ntsec tty"
Finally run ssh - "net start sshd"