http://pigtail.net/LRP/printsrv/cygwin-sshd.html
See the above URL for this detailed description on how to install/use SSH for these O/Ses.
According to some cygwin gods, the only official document that you should use is /usr/share/doc/Cygwin/openssh.README which is probably valid, but it seems to aim at users with a fair bit of Linux/Unix knowledge.
The purpose of this tutorial is for Windows users who are perhaps less familiar with Unix commands wanting to try out the famous Open Source ssh server (openSSH) on a desktop Windows XP
(Windows Vista is relatively new, so information presented here is beta only).