For all of the cool unix stuff that cygwin provides I have often wondered, but never tried cron. Today I did a google, and it turns out to be relatively trivial (from this link):
1. Need to set the mode of cygwin1.dll
$ chmod +x /bin/cygwin1.dll
2. Need to create another directory (I didnt need this step)
$ mkdir /etc/cron.d
Also make it accessible, by changing the permission.
3. Then, follow the standard guideline to start cron service, as
$ cygrunsrv --stop cron
$ cygrunsrv --remove cron
$ cygrunsrv --install cron -p /usr/sbin/cron -a -D
$ cygrunsrv --start cron
And all is well.