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
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:
Don't forget to adjust the absolute path before.