install script will download the prebuilt fzf binary for Windows platform. It does not run on mintty, the default terminal emulator shipped with Cygwin, but it works fine on ConEmu or the default Command Prompt (
The Vim plugin of fzf also works with the Windows binary. It will start an extra
cmd.exe window on mintty to circumvent the aforementioned limitation.
If you really have to use fzf with mintty, consider checking out the legacy version written in Ruby, which is currently maintained in me-and/fzf.