I found in Tyler Muler's Blog about combining cygwin and PuTTY, so I've decided to give it a try.
You can get the latest version of Cygwin from here:
and latest version of PuTTYcyg here:
Once downloaded and executed, the program will ask you what packages you want to install, after you select it will start downloading everything you have selected and will complete the installation.
Make sure that the rlwrap, vim, gvim, openssl, and openssh packages are selected.
By default, Cygwin is installed in C:\cygwin\
and your home directory is C:\cygwin\home\
Download the file and unzip.
Create a shortcut of putty.exe to desktop.
Change the shortcut name to puttyCyg. [You don't have to change name... I just find it easier for me... ;) ]
In the Target field, add " -cygterm -" to the end, so the Target field will look something like this:
Just double click on the desktop icon.