Drush 4 does not support Windows. However, there is an automatic installer for Drush 5. Although it does not have a stable release yet, it has all the capabilities of Drush 4.5. Hence, it is the preferred installation method in this case.
In case you experience problems using the installer, the manual installation process is explained as well in this section.
Drush on Windows supports three shells: DOS, PowerShell, and msysgit (mingw). Cygwin is not formally supported, but is very similar to msysgit and should work.
Drush has a Windows installer that sets up everything you need to start using Drush. The process is very similar to installing any other software in Windows.
Here are the steps to get ...