My suggestion was not an exact recipe, it was just a scheme.
Here the exact step-by-step procedure. I've checked it works on my Windows 7 box.
From the Windows "Start" menu, in the Search box at the bottom
(formerly called "Run") enter (substitute<YourUserName> with whatever
ID you are going by on that Windows system):
C:\Users\<YourUserName>\AppData\Roaming\Microsoft\Windows\SendTo
In the opened Explorer window, right click on unoccupied space on the right hand
pane, select "New"->"Shortcut".
As prompted for "Location", enter (I assume your Cygwin installation is
at C:\cygwin):
C:\cygwin\bin\mintty.exe -e C:\cygwin\bin\bash.exe -l /bin/vim.sh
click "Next", when prompted for the name, enter "Vim",
close the dialog with "Finish".
In Cygwin's window:
cd /bin
cat<<EOF
#! /bin/sh
exec vim -- "`cygpath -u $1`"
EOF
chmod a+x vim.sh
Now you can check whether it work by going to C:\cygwin\ in Windows
Explorer, right-clicking Cygwin.bat, and using "Send To" with "Vim".
HTH,
Anton Lavrentiev
Contractor NIH/NLM/NCBI