The recommended folder to save setup.exe in is: C:\tmp\cygwin
Note that selecting files is easier if you Maximize the window.
First click on the “+” for the “Interpreters” section. If it shows “Skip” to the left of perl, click on the word “Skip” one time so that it displays the revision number of the program.
Next click on the “+” for the “Net” section. If it shows “Skip” to the left of rsync, click on the word “Skip” one time so that it displays the revision number of the program.
It is a good idea to periodically rerun Setup, which will efficiently download and install only those packages that have new versions available.
Starting up Cygwin will open up bash (Bourne again shell). At my work, Setup should have automatically configured your H: drive to be the home directory.
To learn about Cygwin, any decent book on UNIX or Linux will do. And for the Bash shell, http://www.oreilly.com/catalog/bash3/index.html is an excellent resource.
at the bash prompt to learn about the rsync file transfer program.