Good you brought that up. For me, Cygwin is one of a very few reliefs that keeps me from throwing cakes at a guy named Bill. Working on Unix (thank God (for making Linus ;)) most of the time, it saved me from a severe adrenalin rush more than once when I typed ls -la in a DOS box... ;)
When it comes to Perl under Win32, I use ActivePerl, which integrates seamlessly into CygWin and vice versa. Actually I'm impressed by how well this integrates. I use LyX under Cygwin, running on a Win32 X Server, which calles Win32 MikTeX to produce output. Cool stuff. The world could be such a fine place... ;)
But 'nuff of that. Even if you're a M$ apostle Cygwin will make sense, and if it's only that you have a ls, ps, etc. at hand, just in case someone want's to backtick to them. And many examples in the Perl docs or books or on PerlMonks will have some reference to those tools. Besides that Perl set aside for the moment, you'll get rsync and wget and lot's of other tools that might be quite helpful especially for a sysadmin.