How to run bash shell script in cygwin?

[myuser01]

I have a script called "batchjob" that looks like this:
    #!/bin/bash
    echo 'I was here'

-rwxr-xr-x  1 c10066 mkpasswd   48 Jul 19 09:30 batchjob

But when I try to execute it from the cygwin shell I get this: 
$ batchjob
bash: batchjob: command not found

How do i execute a bash shell script from within cygwin?

Thanks
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