I am using MobaXterm from Mobatek.
http://mobaxterm.mobatek.net/
This is not a complete envoirement, but rather suficcient. Just download and run!

It has (ba) sh, with X, sed, grep, awk, rsync, wget, sftp, scp; and some additional plugins (stand-alone files to be placed in the same directory) for VIM, EMACS, perl python, Gcc, gdb, mplayer, svn, git, lua graphviz ...
It still provides many protocols (RDP, VNC, SSH, telnet, rsh, FTP, SFTP, and XDMCP).
Rafareino
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