So far, you have learned how to download and execute Cygwin’s installation program. You learned how to make key selections and a little bit about some of the simpler selections a beginner might want. You learned how to kick off a true Linux shell, bash, in the middle of your Windows session. Now you have the means to follow along with your favorite Linux tutorial—on your Windows system. You even had the chance to begin using some of the X Windows applications. That’s enough for now.
Learn Linux. Learn the basics. And when you’re ready, begin a write-in campaign for an article on running Gnome, KDE, or WindowMaker with your Cygwin environment. To get there, you’ll need to know how to edit files, traverse directories, and do basic process control. Check out Safari, get one of those righteous Unleashed Series on RedHat and/or Fedora, and begin your studies.
Or if you decide to scrap the whole mess, like many do, invoke Setup and click the topmost circle with arrows next to All, and select Uninstall. After clicking the Next button, all the files will be erased quickly and silently. For now, enjoy what you have.