Hi Pascal,
I am running Windows Enterprise 7.0 with service pack 1. It should be up to date with patches, but it may be a week or 2 since I rebooted it.
I did have both the (later version) cygwin wget.exe and what looks like the same, older version in 4 different places. After replacing the one in C:\Windows\System32 with the Cygwin one, it grumbled about cygwin1.dll and cyggnutls-28.dll, which I'd rather not install.
There was no problem with browsing to the folder with the library files, and for now I have downloaded zip128.zip manually.
Martin