Alternatively to Cygwin, it should be possible to support the Microsoft PowerShell. The only unclear requirement that needs to be researched is if PowerShell would support evaluating code before each prompt.

• Check how eval works and if there is a hook for executing direnv before each prompt
• Install bash trough http://mingw.org/wiki/msys
• Add a new shell_powershell.go that supports generating set instructions from the env diff.