I used the following lines of code to start zsh in the current directory in Win7.
Windows Registry Editor Version 5.00
[HKEY_CLASSES_ROOT\Directory\Background\shell\cygwin_bash]
@="Open Cygwin Here"
"NoWorkingDirectory"=""
[HKEY_CLASSES_ROOT\Directory\Background\shell\cygwin_bash\command]
@="\"C:\\Programmieren\\cygwin64\\bin\\mintty.exe\" -i /Cygwin-Terminal.ico /bin/zsh --login -c 'cd \"%V\";zsh'"
note that i used %V instead of %L or %1 (since both didn't work for me)