I have Cygwin installed on WinXP: I needed to create a .vim tree directory for it to work.
Basically, create a .vim directory in your ~ / and untar plugins there, as recommended by khachik. It should create appropriate subdirectories, such as autoload, doc, etc., if your plugins are properly packaged.
You will also need to create .vimrc in ~ / if you want to customize your installation.
To work with HTML, I recommend using Tim Papa’s surround plugin . It is very useful to quickly add / remove tags.
There is a cygwin / vim related question that can answer some of your problems here: How to use my .vimrc file in Cygwin?
Xavier T.
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