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Type "openssh" into the search dialog. Drill down to Net > openssh. Click on the Skip and it will change to some version number. This process may be slightly different depending on CygWin Cygwin version being installed.

Click Finish.

Next you will need to setup sshd service.

Setup sshd Service

Navigate to the location you installed Cygwin and run Cygwin.bat as administrator.

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