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Avoid Cygwin. It's a mess.
A virtual machine is harder to set up and it's slower, but it's more simple to use and more reliable. Personally I use Virtualbox and it's ok. It's a bit complicated to install the Guest Addiditions to have all the bells and whistles, but you can use it also without it. If you care about it, Virtualbox without Extension pack (really not needed) is free and open source.
Furthermore, if you're a noob, use Gnome or KDE. I used xfce for a whie and I'm actually using lxde and yes, I agrre with Kacir, they are cool and faster, but they are really, really less easy to use.
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