Cygwin-Shell is nice, but rxvt-Shell is nicer. And starting with the following paramters makes it more nicer:
rxvt.exe -geometry 100x40 -sr -sl 1000 -e /bin/bash --login -i
Forwarding another XServers output to local Windows does the following script:
#! /bin/sh
PATH=/usr/X11R6/bin:$PATH
# Cleanup from last run.
rm -rf /tmp/.X11-unix
# Start the X Server.
XWin.exe -screen 0 -query XServerBoxName -once &
### end
Das war Englisch, damit es Ausländer auch verstehen. Bin ja nicht so.