1) Install Cygwin to c:\cygwin:

http://www.cygwin.com/

2) Download the tarball in this directory,
and copy it to 
    c:\cygwin\usr\local

3) Run the cygwin command shell.

4) Type

   cd /usr/local/
   tar zxvf sage-1.4.1.2-i686-CYGWIN_NT-5.1.tar.gz 
   
where you changed the name of the tarball in the second
line above to the name of the file you downloaded.

5) Change into the sage directory:

   cd sage-1.4.1.2   

where the name of the directory may be slightly different
for you.

6) Type 

    ./sage

to start SAGE.

7) To make it so you can run SAGE anywhere from the colinux
command prompt, do this

   cp ./sage /usr/local/bin/

Then edit the file /usr/local/bin/sage
so the ROOT path is 
   
   /usr/local/sage-1.4.1.2/

(where the above directory may be slightly different for you).

8) You may wish to install "rxvt" into your cygwin install (see
the cygwin page for how to install new programs); it's a very 
nice command shell.  In rxvt, use "shift left-click" to paste.


9) Enjoy SAGE!