In order to install any package,we must first find the setup.exe file.I could not locate this file.so i downloaded this file (or you can do a wget).I am on windows64 bit.So ,if you go to https://cygwin.com/install.html ,you can download setup-x86_64.exe file from the install and updates section,move this setup-x86_64.exe to your c:/cygwin64,and then run it from there ( setup-x86_64.exe -q -P curl)