Try adding these lines to your $HOME/.vimrc file (this varies according to installation, the easiest way is to just do "vi ~/.vimrc" from a cygwin shell):

"turn on syntax highlighting
:syntax on

Now it's possible that vim may not recognize your terminal type. In order to work around this (like if syntax highlighting won't turn on from this one addition to your .vimrc), then try adding these to your ~/.vimrc:

"fix inability to read term type
:set term=xterm-color

--
Matthew P. Barnson