Does anyone knows if and how I can install zsh on windows with git bash?
Cygwin is effectively a UNIX environment on your Windows machine, with support for many programs. A big draw is that it uses a UNIX folder structure /usr/, /etc/ and so on.
Git Bash, as I understand it, is just a bash prompt and basic tools (cd, ls and the like). You will probably have a hard time installing other programs. Don't take my word for it though!