I want to ask about this error? The error states : This is the first time you've installed Cygwin 1.7.x. Please be  advised that this is a major release. If you have not done so already,  please check out the documentation at http://cygwin.com/ to see how  the upgrade could potentially affect any existing Cygwin instalation.
Cygwin installation message
cygwin
I believe that what you have experience is not an error but a warning instead. This is just saying that it is your first time installing the application. I have found this helpful thread to assist you further : http://www.techyv.com/questions/error-installation-messege-unix-windows Hope this helps!