As of 2003-09-19, shared memory support (i.e. the MIT-SHM Extension) is enabled in the default distribution of Cygwin/X. However, the shared memory support is only enabled at runtime if the Cygwin IPC Daemon (i.e., ipc-daemon2) is running. The Cygwin IPC Daemon is available via the cygipc package from Cygwin's setup.exe.
The Cygwin IPC Daemon can be installed a service on NT-based platforms and there are some options for starting it automatically on non-NT-based platforms as well. Please see the cygipc documentation (e.g. /usr/share/doc/cygipc-2.01/README) for more information.