When you start up Cygwin’s X.Org X11 server via startxwin.exe, it likes to leave an xterm window open on your desktop.
I suppose this is kind of handy if you were manually starting Cygwin/X, it’s pretty annoying if you have it set to start up when you log in to Windows. To keep this from happening, you just need to add an empty .startxwinrc file to your Cygwin home directory. That is, start the Cygwin bash shell, and use this command:
touch .startxwinrc
That’s it! No more xterm windows popping up.
Oh, if you’d rather have something besides xterm start up when you start Cygwin/X, you can just add a list of commands to .startxwinrc and it will execute them after starting the X.Org server.