Use Git for Windows. I don't understand why you wouldn't; what theoretical benefits would running git through cygwin have over using the platform native version that even comes with a user friendly UI?
Also; the GIT shell on windows is Windows Powershell. It comes default with Windows.
Are we looking at the same version?
Ah, you're right. I am referring to the github client. I haven't used Windows in months, so I don't really remember any specifics. I rarely even use the UI for the github client, I just use the shell and it works the same way as Linux.