Yeah, so I download and install the Cygwin packages, and do the requisite reboot (since this is really windows and not *nix, of course there's a reboot), and now X is broken. More than broken, fuxxored. I hacked away at it for a bit, but I was gettin' nowhere. Solution? Delete it all, redownload the packages and actually save them to disk instead of installing directly. It's currently reinstalling with a better package selection than originally, and this time the KDE packages are going in at the same time as everything else, minimizing the chance of irreprable fuckups. Once I get Cygwin, X and KDE working happily together, I'm going to burn the directory to CD so I can just restore from backup (look! I'm smart) and save these hassles.
However, I've got another thought. If I fiddle around a bit, it'd be a simple task to write an app that starts a bash instance and runs a shell script that launches X and KDE - and then this small app could be pointed to by the line in win.ini that reads: "shell=". Yes, it should be possible and not all that much of a headache to replace the usual explorer interface with the KDE interface. A careful application of symlinks, and I think that it could be quite tasty.