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Well, cgywin have a pretty large documentation site accessible via their front page:
Amongst these is their and a
One of the most important factors when starting to use cygwin is to realise that the setup program will not automatically install everything you'll need to program. Look under the Devel tree in setup, and select the compilers you wish to use. gcc and gcc-g++ sounds like they are what you need. This will automatically select the libraries, etc., that are needed for these tools to work. I'd recommend getting diff-utils as well, under Base. If you find out later you forgot something, you can always run the setup program again, and it will install/remove the packages you de/select.
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