Cygwin is designed to provide functionality similar to a Linux distribution on Windows with a large selection of precompiled apps.
Cygwin comes with an installer to be sure you have the latest version. It is not a shell replacement or even a replacement for Windows but rather provides a Terminal that allows you to execute Linux commands. This means it should be safe to install without damaging your copy of Windows but creating an image file for a complete backup seems like a good idea.
If you've never used Linux before, you can forget the cute penguin you've seen so much. Nope, this is a terminal, or for those unfamiliar, it looks like a DOS prompt. Here's where it helps to have some Linux, or DOS, knowledge to move on.
Cygwin is not able to run native Linux apps. You need to recompile an application to run on it or download one of the many packages available here. During the installation and download, you might want to look for a few packages you want to run. If you already installed Cygwin, reinstall it. When it says, there's nothing to install, choose the drop-down box, seen in screenshot three below, pick a few apps and click next. We selected the one app that took about 5 minutes to download and install a simple 8-bit game, so choose wisely.
Sadly, once we spent the time picking a package, Cygwin didn't like the VMWare (Virtual Machine) video adapter, which failed to run. At that point, we gave up. It's a huge oversight not to have it run properly in a Virtual Machine, so if that's how you planned to use it, forget it.
Cygwin does exactly what it promises, almost. In most versions of Linux, you get some GUI (Graphical User Interface). If you get stuck, they have a FAQ and user guides available, which is good because you're probably going to need it. It's an excellent way to play with Linux safely, but odds are when you're done, Windows 10 or 11 won't look so bad after all.