Cygwin is a collection of tools which provide a Linux look and feel environment for Windows. It contains a DLL wich acts as as a Linux API layer providing Linux API functionality for apps compiled with it.
I use Cygwin to host a SSH server on my Windows netbook and server.
Cygwin also has an X server, so I can forward X via SSH to Windows PCs.
You can run some of my bash scripts on Cygwin.