Here's a synopsis of how I installed dig on Cygwin:

1. Run the Cygwin setup and for the download site use:
ftp://sunsite.dk/projects/cygwinports

[推荐使用国内源http://mirrors.163.com/cygwin/]

2. Install the "Bind" package.

3. Determine the DNS being used.
ipconfig /all

4. Create the /etc/resolv.conf.
nameserver <DNS IP>

If this is not done, you'll get the error "communcations error: connection reset" when you run dig.

5. Run dig

from http://www.otweb.com/phramework/pw/module/blog/index.php?id=862