Finally I configured SSH public key authentication on my Cygwin. So it is so convenient to log on to various Unix servers. :-)
-- on my local PC
$ pwd
/home/liqy/.ssh
$ ls -l
total 8
-rw------- 1 liqy Domain Users 898 2010-04-19 11:09 id_rsa
-rw-r--r-- 1 liqy Domain Users 1196 2010-04-19 10:56 known_hosts
$ ssh rpt02
Last successful login for liqy: Mon Apr 19 11:10:48 SST-8 2010
Last unsuccessful login for liqy: Tue Mar 16 01:59:06 SST-8 2010
Last login: Mon Apr 19 11:10:48 2010 from 146-105-22.int.m1.com.sg
rpt02@/home/liqy> cd .ssh
-- on remote server
rpt02@/home/liqy/.ssh> ls -lrt
total 64
-rw------- 1 liqy users 1024 Nov 27 2007 prng_seed
-rw-r--r-- 1 liqy users 9061 Dec 14 09:57 known_hosts
-rw-r--r-- 1 liqy users 220 Apr 1 13:57 authorized_keys