startxwin.sh is included in the xinit package

из инсталяционного гада : )
.....
Cygwin/X packages are located in the X11 category.

xorg-server (required, the Cygwin/X X Server)

xinit (required, scripts for starting the X server: xinit, startx, startwin.sh, startxwin.bat (and a shortcut on the Start Menu to run it), startxdmcp.bat )

xorg-docs (optional, man pages)

X-start-menu-icons (optional, adds icons for X Clients to the Start menu)

You may also select any X client programs you want to use, and any fonts you would like to have available.

You may also want to ensure that the inetutils or openssh packages are selected if you wish to use telnet or ssh connections to run remote X clients.

.......