More info about using a cygwin version of emacs can be found at this page. It appears that Cygwin now has an GnuEmacs package!
http://www.emacswiki.org/cgi-bin/wiki.pl?CygwinizedEmacsHOWTO
Recently I have had success with the GnuEmacs port running with Cygwin XFree. It works quite well. More importantly, all the little convenience features of MH-E work perfectly there. There is even a screen shot at the MH-E website.
Here are the steps that I use to run Emacs under Cygwin:
export DISPLAY=:0.0
XWin -multiwindow