In a default Cygwin installation, dig does not work properly out of the box. While resolving works when specifying a DNS server on the command line, a simple dig does not seem to work, and results in an error:
C:\cygwin\etc>dig www.google.be ;; communications error: connection reset ;; communications error: connection reset
The reason for this is because there are no DNS servers specified in Cygwin. Dig uses the same configuration as DNS would be on a linux system, the configuration file /etc/resolv.conf. By creating this file and adding your DNS servers (e.g. from Windows), dig will be able to resolve without each time manually specifying a DNS server.
Assuming you have installed Cygwin in C:\Cygwin, create the file C:\Cygwin\etc\resolv.conf, using a text editor. Put in your DNS servers and DNS suffix like so:
search telenet.be nameserver 126.96.36.199 nameserver 188.8.131.52
Substitute the IP addresses with your own DNS servers. You can find them in the network properties of your network interface in Windows. Adjust the search string as well or leave it out, depending on your network settings.