Works from a Cygwin shell in the same way as for Unix. See krh/INSTALL.TXT in the distribution.
Under Windows the automatic detection whether krh is connected to a terminal does not work. By default krh runs in non-terminal mode (no prompt). Use option `-tty' to run krh in terminal mode.
Under the Windows port of OCaml it seems not possible to catch SIGINT properly. So SINGINT (e.g. by CTRL-C from the keyboard) terminates krh.