Cygwin is a program that emulates a Unix-like environment within DOS. This allows the use of the GNU tools (and therefore legOS) on top of Windows.
You can find instructions on how to get and install Cywgin and legOS from this page. There may or may not be more up-to-date instructions in the legOS HOWTO.
The file listing below is auto-generated, showing the current list of files in this directory. To get more information about them, try the links above or download them yourself.