On Windows, Vim looks for its startup configuration (the vimrc file) in following order:
1. $VIM/vimrc
2. $HOME/_vimrc
3. $VIM/_vimrc

Cygwin's Vim looks for its startup configuration in following order:
1. $VIM/vimrc
2. $HOME/.vimrc

For Windows, $VIM is typically c:\program files\vim.
For Cygwin, $VIM is typically /usr/share/vim

In order to use a single location for my custom vim settings, I put them in c:\cygwin\home\username\.vimrc , and I add "source c:\cygwin\home\username\.vimrc " to the bottom of c:\program files\vim\vimrc (the sole addition to that file).