I gave up with the Cygwin version and switched to the native port (http://ftp.gnu.org/pub/gnu/emacs/windows/). Some Cygwin integration is supported by adding to .emacs:

  (require 'cygwin-mount)
  (setq cygwin-mount-cygwin-bin-directory "C:/cygwin/bin")
  (cygwin-mount-activate)

And I use the following alias to open files directly from bash:

  alias emacs='D:/tools/emacs-22.3/bin/emacsclient.exe --no-wait --alternate-editor=D:/tools/emacs-22.3/bin/runemacs.exe'