I don't remember if there is any docs included (we certainly did not install any docs). Once installed, there should be a Cygwin short-cut icon on your desktop. That is your bash CLI. Click on it and you will get the familiar bash command prompt. By default, cygwin is installed under c:cygwin, and your drives will be under /cygdrive/c, /cygdrive/d, etc. (relative to where cygwin is installed).
If you need more documentations, it may be a good idea to visit the Cygwin site
http://www.cygwin.com/ (which is where you should get the latest setup program).