Hmm, that URL seems to be talking about the client only.
Try this instead:
http://people.freebsd.org/~kevlo/postgres/portNT.html
FWIW, this only took a few seconds longer to find (go to postgresql.org, search for "cygwin install", follow the first or second likely-looking link into a set of mailing-list exchanges about someone who is having problems installing on Win32 and there you are!)