While installing cygwin, make sure you install the python/python-setuptools from the list. This will install "easy_install" package. Once you have easy_install, you can use it to install pip. Type the following command:
$ easy_install-a.b pip
You must replace a.b with your python version which can be 2.7 or 3.4 or whatever else. Now you can use pip to install the module you want. For example, To install the latest version of "SomeProject":
$ pip install 'SomeProject'
To install a specific version:
$ pip install 'SomeProject==1.4'
To install greater than or equal to one version and less than another:
$ pip install 'SomeProject>=1,<2'