Displaying remote X clients with Cygwin/XFree86 is nearly identical to displaying remote X clients with any other X Server. Simply follow the commands listed below.
On your Windows machine:
Launch Cygwin/XFree86
In an X terminal type /usr/X11R6/bin/xhost remote_host_ip_address
In an X terminal type /usr/bin/telnet remote_host_ip_address. Use the explicit path to ensure that Cygwin's telnet is run instead of Microsoft's telnet; Microsoft's telnet will crash on startup when run from Cygwin/XFree86.
Logon to your remote machine via your telnet session
In your telnet session type, DISPLAY=windows_host_ip_address:0.0
In your telnet session type, export DISPLAY
In your telnet session type, xterm&. This will launch an xterm that should display in your Cygwin/XFree86 screen.
Launch other remote clients from the remote xterm window that you just opened; I recommend starting the remote clients in the background, by appending & to the command name, so that you don't have to open several remote xterms.