I'm encountering a couple of problems trying to download Cygwin using the
new setup program.  To begin with, my primary computer runs Linux, not
Windows, so I can't even run the setup program from there.  I have Windows
installed on a virtual machine which is connected to my Linux box on a
private network, and I am able to access the Internet using NAT.

When I run the setup program from the virtual machine, I get the list of
mirror sites to choose from.  The first site I tried out was
ftp://planetmirror.com.  This site uses passive ftp, which does not work
through NAT at all; ftp got stuck waiting for a connection which it would
never get.

The next site I tried was ftp://ftp.nas.nasa.gov.  This time it got the
setup.ini file, and I proceeded to go through the package list, selecting
the components that I wanted to download.  By the time I got finished and
told the setup program to start downloading everything, I was bombarded by
a series of failed transfer errors.  According to the log, the setup
program had kept the ftp connection open the entire time I was sorting
through the package list, and expected it to still be open by the time I
was finished!  The ftp server, on the other hand, had long since timed out
and closed the connection, hence the transfer errors.

I went back to ftp://planetmirror.com a second time because I hadn't
thought to save the log file as evidence.  This time, it couldn't even make
a decent ftp connection; it got stuck in some kind of infinite loop.  I
can't even imagine why the log is filled up with "ftp > ("'s.

These problems could be fixed in the setup program by A) forcing ftp
connections to active mode (or providing a user option to choose passive or
active transfers), and B) closing the ftp connection after fetching
setup.ini, and reopening it when it's time to fetch the rest of the files.

Fortunately I was able to download Cygwin through the
ftp://ftp.sunsite.utk.edu mirror.