From the mailing list for the Cygwin project:
To have Windows Explorer start a Bash console window in any directory that you right click on, save the following lines to a file with a .reg extension, change the command lines to point to where bash.exe is installed, and run the file. You can change the string that appears in the context menu by changing"&Bash This" to your preferred string. The character after'&' is the shortcut key for the command. You can also download my pre-made .reg file here.
REGEDIT4
[HKEY_CLASSES_ROOT\Directory\shell\BashHere]
@="&Bash This"
[HKEY_CLASSES_ROOT\Directory\shell\BashHere\command]
@="c:\\cygwin\\bin\\bash.exe –login -c \"cd '%1' ; exec /bin/bash -rcfile ~/.bashrc\""
[HKEY_CLASSES_ROOT\Drive\shell\BashHere]
@="&Bash This"
[HKEY_CLASSES_ROOT\Drive\shell\BashHere\command]
@="c:\\cygwin\\bin\\bash.exe –login -c \"cd '%1' ; exec /bin/bash -rcfile ~/.bashrc\""