Instead of messing with X or doing all the crazy configs needed to make rxvt habitable, just use mintty, which is part of cygwin.

You can configure it by with right click → options. That's it. No additional steps, no config files, it just works.

Just install the 'chere' package from cygwin, then:

$ chere -i -t mintty -s bash -e '&MinTTY here'