I have xterm in

/cygdrive/c/cygwin/bin/xterm.exe

You might try a windows search for xterm.exe

Did you get the grey blank page when you started X?

At all events I just sent you the xterm.exe from my win laptop.   I don't know whether it will get past your and my firewalls.   Our admins at work seem to be pretty good - I've never gotten a virus that I've noticed - so I think it should be safe but it's your system if you want to try it.

If you still have problems and can't get it working, follow up and we'll try to work through it.  (I ain't an expert at all on windows, and I have used cygwin just enough to get this working and to discover that "cp" copies things that XP's inbuilt DRM would otherwise not allow you to copy - hooray).