To get this:
out of Cygwin's rxvt, you have to tweak your
/cygwin/etc/x11/app-defaults/rxvt file, which is here:
like this:
More often than not, you'll have to insert the whole line beginning with "Rxvt*backgroundPixmap:" .
Then I strongly suggest making a shortcut to it in your home folder, like this:
... then restart rxvt (safest way, though not always quickest) and enjoy your new background.
BZT
PS: Here is a red background that looks pretty good when run in rxvt.