NOTE: This video is no longer available as it contains outdated content.
Windows XP doesn't come with native tools for working with some common development tasks such as creating and applying patches. In the *nix world the tools diff and patch are standard in a dev toolbox. Cygwin will give Windows users a Linux-like command line and the ability to install a number of common Linux tools. This video will show you how to install the Cygwin base as well as diff, patch and CVS, which is the version control system that drupal.org uses for all of the core and contributed code.
The advantage to using the command line tools is that many online references for these tasks, including the drupal.org handbook, tend to use this rather than GUI instructions because they can depend on the command line being the same across systems, while various GUI tools will have many different ways to accomplish the same thing. Command line may seem scary to those that haven't used it but it really is as easy as typing in some words and watching magic happen.