I'm very happy that I finally got this working: a Windows shell menu entry C _Y GWIN from here_ that opens a Cygwin Bash for that very folder. After weeks of typing "cd /cygd/c/" and so on now two clicks instead are ten times faster for me, assuming that this very folder was under my nose in Explorer already. The magic command to integrate is

E:\Cygwin\bin\bash --login -c 'cd "`cygpath "%1"`" && exec bash -i'

To be sure you don't copy-paste that with broken quotes through WordPress or something, better download and import this registry export:

• cygwin_from_here_10.reg

Don't forget to adjust the absolute path before.