I hate to say, but I believe you can't do it, at least not in a reliable way. This is about Windows vs. symbolic links vs. Cygwin.
Symbolic links as they work in Linux are on filesystem level. The fact that they work with Cygwin is just that it's able to "lie to itself" with help of these special files you mention.
Although there is similar facility on Windows/NTFS, which might suggest that Cygwin could make use of them, there are so many drawbacks (they work differently on XP than on Vista+; they don't work at all with FAT partitions...) that it's reasonable that Cygwin developers chose not to use them for this simulation.
- on Vista+ you can use
mklink /d to create symlink to file or directory, respectively
- on XP you can create junction, (which is like symlink but it only works for directories), but you have to use external tool for that (e.g. Sysinternals'
While I could imagine either a package for Cygwin that would make it use different technique (probably some hardcore black magic), I would be surprised if in the small overlap of Cygwin/TC users there was a developer willing to do such thing.
I also love TC. When I'm on Windows, it's my both hands. But with Cygwin, best advice I can give you are:
- learn to use some Linux shell—e.g bash works on pretty every OS a mortal can find on Earth
- learn to use Midnight Commander—a popular console file manager. It operates on the same basis as TC and is almost as ubiquitous as bash
As a bonus, these are both console things, so you'll be able to use them under remote ssh connection, which is a must if you ever get work with remote UNIX-like machine.