Start a bash shell as Administrator

ssh-host-config

Answer yes to everything except “Do you want to use a different name?” Enter a password when prompted.

Start the server (still as Administrator) with

net start sshd

If you don't have a password set on this account then you will need to set one in order to log in via sshd. If you do, then you may need Jiggery Pokery to copy it across into Cygwin (or else the following will probably work). Still as Administrator:

passwd

That should do it. If you want to lock things down, /etc/hosts.allow and /etc/hosts.deny are your next port of call. If you wanted to only permit access from the local machine (some might think this negates the point of an ssh server, but such people have probably not attempted to endure the windows terminal for any length of time), then:

hosts.allow

ALL: 127.0.0.1
ALL: [::1]

hosts.deny

ALL: ALL