After you get this window of cygwin setup, you can select the packages that you want to install. The categories Base, Graphics, Utils, and X11 should be installed if you want to run xfig and X11. Click the word "Default" of these categories until the options on them become "Install" as shown in screenshot 1 and screenshot 2. Note that the X11 package was called XFree86 before when I took the screenshot. You should choose the X11 package.