Cygwin-portable is a tool for making portable Cygwin installations.
Download the latest release from GitHub.
Cygwin is a large collection of GNU and Open Source tools which provide functionality similar to a Linux distribution on Windows.
Cygwin generally works really well when installed in an ordinary way. When installed on a portable medium such as a memory stick, there are a few unfortunate kinks that makes it a little uncomfortable to use and that sometimes takes a bit of hacking to get around. So I did it for you.