[h-e-w] How do I make Emacs use the Cygwin BASH shell with the "Esc-x shell" feature?

[David C Hubbard]

I have used Emacs on UNIX/LINUX machines before and the "shell" feature
works by default. How do I get the "shell" to work on windows with the
Cygwin BASH? I installed Cygwin tool set first and then installed NTEMACS.
Emacs seems to work just fine except when I do the Esc-x feature to get a
shell it doesn't go to DOS prompt or anything. I do see a "cmdproxy -i" for
that buffer when I try and close Emacs.

Thanks for any help
David