Windows 7 security problem

Hello guys, This is a problem that has plagued me from day one and I guess I'm not smart enough to correct it. I have installed in the past command prompts to do various tasks and sometimes windows 7 security puts the ax to it. This is the case I have now with Cygwin (a tool to create custom roms for Android). I installed this yesterday and when I click the desktop icon the command prompt window attempts to open and in the same instant closes. I've gone to properties/security/permissions and no matter what I do it behaves the same. It won't open.
This is frustrating beyond measure.
Any help is appreciated.
If anyone responds please lead me along like a little kid and walk me through this.
Thanks in advance.

 

Here are 2 links to everything about Cygwin. Hopefully you'll find an answer.

http://www.redhat.com/services/custom/cygwin/

https://en.wikipedia.org/wiki/Cygnix#Derivatives