Tested on Windows 10.
Brief instructions:
Install the 32 bit Cygwin from here: https://cygwin.com/setup-x86.exe.
In the package list when installing, make sure cygrunsrv and wget are selected.
Open Cygwin as an administrator.
Start the Cygwin System V IPC Server, like this:
cygserver-config
net start cygserver
Obtain GT.M compiled for Cygwin x86:
wget https://github.com/shabiel/fis-gtm/releases/download/V6.3-005/gtm_V63005_cygwin_i586_pro.tar.gz
Install GT.M using the standard instructions located at: http://tinco.pair.com/bhaskar/gtm/doc/books/ao/UNIX_manual/ch02.html.
GT.M is now installed. You can now exit the elevated Cygwin shell and go to a normal shell.
Please report issues on the issue tracker here.