  High resolution X-ray absorption spectroscopy is a powerful diagnostic tool
for probing chemical and physical properties of the interstellar medium (ISM)
at various phases. We present detections of K transition absorption lines from
the low ionization ions of OI, OII, NeI, NeII, and NeIII, and the high
ionization ones of OVI, OVII, OVIII, NeIX, and MgXI, as well as details of
neutral absorption edges from Mg, Ne, and O in an unprecedented high quality
spectrum of the low mass X-ray binary Cyg X-2. These absorption features trace
the intervening interstellar medium which is indicated by the unshifted line
centroids with respect to the rest frame wavelengths of the corresponding
atomic transitions. We have measured the column densities of each ion. We
complement these measurements with the radio HI and optical Halpha observations
toward the same sight line and estimate the mean abundances of Ne, O, and Mg in
the cool phase to Ne/H=0.84^{+0.13}_{-0.10}\times10^{-4},
O/H=3.83^{+0.48}_{-0.43}\times10^{-4}, and
Mg/H=0.35^{+0.09}_{-0.11}\times10^{-4}, and O and Mg in the hot phase to
O/H=5.81^{+1.30}_{-1.34}\times10^{-4} and
Mg/H=0.33^{+0.09}_{-0.09}\times10^{-4}, respectively. These results indicate a
mild depletion of oxygen into dust grains in the cool phase and little or no
depletion of magnesium. We also find that absorption from highly ionized ions
in the hot Galactic disk gas can account for most of the absorption observed
toward the extragalactic sight lines like Mrk 421. The bulk of the observed OVI
likely originates from the conductive interfaces between the cool and hot
gases, from which a significant amount of NV and CIV emission is predicted.
