Cygwin comes with its own version of Python, so it's likely that you have two Python installs on your system; one that installed under Windows and one which came with Cygwin.
To test this, try opening a bash prompt in Cygwin and typing which python
to see where the Python executable is located. If it says /cygdrive/c/Python25/python.exe
or something similar then you'll know you're running the Windows executable. If you see /usr/local/bin/python
or something like that, then you'll know that you're running the Cygwin version.
I recommend opening a DOS prompt and running Python from there when you need interactive usage. This will keep your two Python installs nicely separate (it can be very useful to have both; I do this on my own machine). Also, you may have some problems running a program designed for Windows interactive console use from within a Cygwin shell.