I finally found the solution to my problem with getting 404 on static
assets (/images, /js, /css).
Not sure how I missed it before but I saw the problem in the error log
now. Basically I was not understanding that the root path needed to be
relative to the location of the nginx.exe (c:\nginx\nginx.exe).
Changing "/cygwin/..." to "../cygwin/..." was my solution. I didn't
have a problem with the non-static stuff (PHP) because all of that was
handled by fastcgi, which expected the full windows path
("c:/cygwin/..."). Below is my working config.