The launcher for Cygwin is a BAT file. Unfortunately you can’t pin a BAT file to the Windows 7 taskbar. For me this meant I had to keep Cygwin on my desktop instead of having it in a more preferable spot on the taskbar. Here’s a workaround that will allow you to pin Cygwin to your taskbar:

1. During the Cygwin installation process, install the ‘rxvt’ package. This can also be done after the original installation by relaunching the setup file.

2. After ‘rxvt’ finishes installing, create a new shortcut on your desktop. Enter this for the location of the shortcut:
D:\cygwin\bin\rxvt.exe -sr -sl 2500 -sb -geometry 90x30 -fg lightblue -bg midnightblue -tn rxvt -fn "Lucida Console-14" -e /usr/bin/bash --login -i
*replace D:\cygwin with the location of your cygwin installation.

3. Give the shortcut the name “Cygwin” and pin it to your taskbar.

As an added bonus, here is a nicer Cygwin icon that you can use as the icon for your shortcut. Save the icon file to your workstation. Then right-click your new Cygwin shortcut, choose Properties, click the Shortcut tab, click Change Icon, and navigate to where you saved the ICO file. After that you can re-pin the shortcut to your taskbar to update the icon. You may have to log off and back on to see the change.

Thanks to Bob McCormick for some of this info.