When I have to work on a Windows machine the first thing I install is git: https://git-scm.com/downloads
It comes with bash and all the standard tools (including ssh IIRC), so I can work on a real command line. Especially as a vi user, I'm right at home.
I find this a lot easier to manage than Cygwin: a lighter install, no packages to select, and smoother integration.
These days you go to the Microsoft App store and download Ubuntu. It loads up actual bash and comes with everything you'd expect. (ssh being just one of the things). The terminal emulation is improving (there are still a couple of glitches) but pretty much all of my daily tools work exactly correctly.
For Xming, simply set DISPLAY in shell and local GUI programs just work, as well as SSH X forwarding.
[1] https://github.com/mintty/wsltty
[2] https://sourceforge.net/projects/xming/
(EDIT: typo)