Vernon's blog: Tabbed terminal under Cygwin using mrxvt tabs
Some people have issues with how much, what kind, how new the stuff in their X11 installs are for Cygwin, as you'll see in the comments. But if you, like me, have been cruising around the Web trying out this and that solution, terminal, low-profile X11 app and finding different things out about each one, you ought to have whatever's necessary to install MRXVT according to Vernon's instructions without a hitch or hiccup.
Personal note: it's also the first time I was able to launch XWin from my Cygwin rxvt without it arguing with me about who owned my screen. Turns out if you get behind both with a call to put up X apps by way of your machine's ip (and localhost: won't do it, either, I'm guessing), it works like a charm.
BZT