0. Ensure you have the typical Cygwin/Linux build tools (gcc, make, autoconf, libiconv, openssl and etc.)
1. Download source for the following:
a) LibYAML 0.1.4 from http://pyyaml.org/wiki/LibYAML
b) ruby-1.9.3-p0 source from http://ruby-lang.org
c) rubygems-1.8.11 from http://rubygems.org
2. Unzip/tar them all in /tmp
a) $ cd /tmp/yaml-0.1.4
$ ./configure && make && make install
b) $ cd /tmp/ruby-1.9.3-p0/ext/openssl
$ ruby extconf.rb
$ make && make install
c) $ cd /tmp/ruby-1.9.3-p0
$ export CPPFLAGS=-I/usr/local/include
$ export LDFLAGS=-L/usr/local/lib
$ ./configure && make && make install
e) $ cd /tmp/rubygems-1.8.11
$ ruby setup.rbWith these completed, you may now install Heroku client tool as ruby gem:
c) $ gem install heroku
You would also need Git to successful push and deploy application to Heroku, but you can get Cygwin 'git' package if you haven't already done so. NOTE: FYI, all the user built applications are usually install into /usr/local directory, while those system (comes with cygwin packages) are in /usr.