sudo command not found on Cygwin
Cygwin is not a full Linux distribution. Therefore you don't have sudo or the Debian/Ubuntu package manager apt-get. There is a number of packages available from the Cygwin repository: http://cygwin.com/packages/You have to chose these packages during setup.
Windows does not have sudo, apt, or almost any Linux commands to be exact. Cygwin may allow some, but as programs are not installed on Windows as packages apt-get will not work. Windows programs have installers as .exe or .msi instead.
The Windows version of sudo is called runas in case you need to run something as another user. Or, you can run Cygwin as administrator.
If you have to use the packages you need Linux. You can install it directly to replace Windows, dual-boot or use a virtualization software like VMware VirtualBox.