cygwin looks to be downloading a 16mb bin utilities file from gnu.org, am i on the right track?
After that is finished, execute the updated script by typing "./toolchain.sh" and hitting enter. In Linux, "." means the current directory, and ".." means the parent directory, so this command means to execute "toolchain.sh," which is in the current directory. The toolchain.sh script will do the rest, for you. This can take up to several hours, depending on the specifications of your machine. For a frame of reference, my 3.0GHz Pentium 4 took about three hours to run the entire script, so be patient. Some people have reported it taking over 24 hours, but this is a little overkill. Go take a break and come back in a few hours. Or better yet, let it go while you sleep and when you wake up in the morning you should be ready for the next step.