Install the following Cygwin packages (rerun setup if necessary -- you can add packages after you have already installed Cygwin).
Admin --> cygrunsrv
Net --> openssh
Open a new bash shell window and run the SSH configure stuff.
This step will create necessary configuration files, a priviledge separation user and necessary directories.
When prompted with "CYGWIN=" type for following:
Now you are ready to start the service.
cygrunsrv -S sshd
Sometimes you get a sshd/cygrunsrv service error after trying to run the service.
cygrunsrv: Error starting a service:
QueryServiceStatus: Win32 error 1062:
The service has not been started.
There can be a couple of causes for this. The following may fix the problem (this is not an option on XP Home).
You may have an old or corrupt installation of Cygwin. Try reinstalling. The following may also help:
cygrunsrv -R sshd
REBOOT (or use the Task Manager to kill all instances of sshd that may be running in the background)
run "ssh-host-config -y" again.
This seemed to help on a few systems I worked on.
Open an explorer window and use the "Properties | Security" dialog and explicitly add "Full Control" for the SYSTEM user to the following directories:
Hope that helps!