The current version of git installed with Cygwin (1.5.x) has at least one annoying bug so it's worth building the latest version (NB I have almost all of Cygwin installed - you may need to install additional development tools and libs):
Update March/09 -- I found more detailed instructions
- Download and unpack the source code. Pointer here
- Run './configure --prefix=/usr/local'
- Run 'make test'
- Ignore errors relating to not detecting unwritable repos
- run 'make install'
- run 'hash -r'
- Make sure it's installed with 'type git' and 'git --version'