First, go to cygwin.com and dawnload the installation program for cygwin (usually called setup.exe).
Second, run the setup program, making sure in install the following 4 components (this is the minimum you will need to run xfig): base, graphics, utils, and X11. Click on the word "default" so that it says "install" instead for each of these 4 components.
let the program run---it may take up to an hour or two to finish. If it gives you an error, you can retry it (lots of the work is saved, so the second go-around can be much faster).
Once cygwin is installed, start cygwin, and in the window that appears, type
startx
and then in the new window that appears, type
xfig.
xfig should now be up and running!