I run CC65 from Windows XP and I don't use cygwin (although I'm sure its possible).
CC65 is not an easy "beast" to understand. First thing you need to decide is which platform you plan to target. Without that, it won't work. It is best to use a DOS batch file to handle the compiling process.
If you want an example, you can download my SBC-3 support package. It contains the source code to create an SBC-3 platform that you can target along with two sample programs. There is a batch file in each of the two demo programs that takes care of the compiling. Remember though, that this can only be executed from my SBC-3 (properly outfitted). There are many other targets included in the CC65 package so you will have to choose an appropriate one for your use.
It took me several months to build the target source files and to get programs to compile correctly. I started out by downloading Chris Ward's source files for retargeting CC65 to his SBC. From there, I just modifying those files to fit the SBC-3. I then went into the source files for other targeted platforms and started bringing in more routines that the SBC-3 would support, including serial, graphics, disk strorage, and ethernet.
It was a long road with many bumps, but it can be done.
Daryl
http://sbc.rictor.org/download/cc65lib.zip