Take a look here:
Aside from the other things, it gives the following list of options to setup.exe:
Command Line Options:
-A --disable-buggy-antivirus Disable known or suspected buggy anti
virus software packages during execution.
-C --categories Specify entire categories to install
-D --download Download from internet
-d --no-desktop Disable creation of desktop shortcut
-h --help print help
-K --pubkey Path to extra public key file (gpg format)
-L --local-install Install from local directory
-l --local-package-dir Local package directory
-n --no-shortcuts Disable creation of desktop and start menu
shortcuts
-N --no-startmenu Disable creation of start menu shortcut
-O --only-site Ignore all sites except for -s
-P --packages Specify packages to install
-p --proxy HTTP/FTP proxy (host:port)
-q --quiet-mode Unattended setup mode
-r --no-replaceonreboot Disable replacing in-use files on next
reboot.
-R --root Root installation directory
-S --sexpr-pubkey Extra public key in s-expr format
-s --site Download site
-U --keep-untrusted-keys Use untrusted keys and retain all
-u --untrusted-keys Use untrusted keys from last-extrakeys
-X --no-verify Don't verify setup.ini signatures
So setup.exe -P <package name> should do the job. Don't have cygwin right here, so test it to confirm it works as expected.
To search for a package, per:
you can use cygcheck -p:
cygcheck -p REGEXP
...
-p, --package-query search for REGEXP in the entire cygwin.com package
repository (requires internet connectivity)
which produces output like (example from above site):
$ cygcheck -p 'libexpat.*\.a'
Found 2 matches for 'libexpat.*\.a'.
expat-1.95.7-1 XML parser library written in C
expat-1.95.8-1 XML parser library written in C
