A few days ago a made a fresh installation of Cygwin64 in order to tinker with Pandas (just for fun) but instead of installing Anaconda, I decided to install each component manually... I will write it here because I'm sure I will need it in the future (and it might be handy for someone else).

First things first, package management in Cygwin is a bit of a pain without apt-cyg... So download it from here, save it as "apt-cyg" in your $HOME and install it:

install apt-cyg /bin/