In a previous post
http://news.ycombinator.com/item?id=1066987 I recommended PuTTYcyg and was going to leave it at that. It turns out that PuTTYcyg doesn't play well with PuTTY Connection Manager, a tabbed PuTTY wrapper. So I wrote up how to get sshd and PuTTY working together on Cygwin, along with a little key management.