This is an interesting program that creates a UNIX-like environment in Windows. It includes many UNIX commands, including bash, which is the default command shell when you use Linux. In other words, you can use the Linux command line within windows.
Even if bash doesn't interest you, it still has a lot of other nifty UNIX/Linux programs that are normally not found within DOS, and can be used in a DOS command line or within bash.
Read the docs first tho...
EDIT: Wow....CYGWIN includes a version of XFree that runs on Windows...this ought to be interesting...