setup.exe won't unpack the download

[E Shon]

>>- downloaded the default packages to C:\cygwin using setup.exe five 
>>separate times after completely erasing all occurences of the word 
>>cygwin on my harddrive before a fresh install, and have tried 
>>downloading from different mirrors
> 
> 
> It sounds like you are using the "download" rather than the "install"
> option when running setup.exe.  If you are really a newbie and decided
> to change the default while installing, then... why would you do that?
> 

I tried "Install from the Internet" the first time and nothing unpacked. 
  So I removed everything and tried install from the internet again, 
which still didn't work.  Third time I tried downloading to a local 
directory then running setup.exe again to install it from that local 
directory...   nothing seems to work.

Is there perhaps some special utility that doesn't automatically come 
with XP for unzipping these *.tar.bz2's?

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