Just download and run the cygwin-portable-installer
Afterwards you should enter:
fex installThat's it!
Alternativly you can install Cygwin manually:
You have to install the Cygwin base and the packages
Then you have to install the fex tools.
Start the Cygwin terminal programm and enter:
wget fex.belwue.de/download/fex.pl perl fex.pl fex install