Previously, Windows users with a "native" Python install were advised to avoid the Cygwin shell like the plague.
If you want to run autobuild directly from a mercurial checkout without installing, we still provide the autobuild.cmd wrapper. It can be used by executing the following:
ln -s /path/to/autobuild/checkout/bin/autobuild.cmd ~/bin/autobuild export PATH="$PATH:~/bin/
However, as this is trickier to set up and more error prone, it is not the primary method that we recommend.