Hi Michael,
that seems to be an issue with the setup of the CygWin environment by the Windows installer. There are two options:
1. Try to work around. Download the APM file (which is really just a .tgz") and extract manually (WinZip will do) into a suitable directory under /packages/.
2. Post the bug in the Project/Open bug tracker and wait unil we've fixed it ... 😊
Bests,
Frank