Tested on a Windows 10 20H2 x64 machine.
Go to https://www.cygwin.com , get the setup-x86_64 file and follow the instructions on the website.
Make sure to install additional dependencies necessary for hashcat compilation by selecting the following packages during cygwin installation
libiconv-devel
gcc-core
gcc-g++
make
git
Once all that is done, open the cygwin bash (cygwin\cygwin.bat) and type the following command to copy the latest master revision of hashcat repository into cygwin\home\username\hashcat
$ git clone https://github.com/hashcat/hashcat.git
Switch to the newly created folder by running
$ cd hashcat
Now type "make" to start compiling hashcat
$ make
The process may take a while, please be patient. Once it's finished, run hashcat by typing "./hashcat.exe"
$ ./hashcat.exe
While hashcat will run fine from cygwin bash, running it from a windows shell will require cygwin1.dll and cygiconv-2.dll to be in the same folder with hashcat.exe (the files can be found in cygwin\bin folder).