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I use MingGW shell/MSYS to get access to the standard Unix tools (and a decent terminal/shell) on Windows. MSYS is much less intrusive than Cygwin ... Anyway, Drush doesn't work in MSYS because the lack of a which program. (In MSYS which is shell script.) In addition MSYS has tar.exe, not bsdtar.exe.
Finally, when downloading dev modules, Drush uses a question mark in the filename which is illegal on Windows. Replacing the question mark with a hash (fragment identifier) works equally well.
Patch coming up.