Cygwin/X works with window managers in a couple of different ways:
Internal window manager (a.k.a. MultiWindow Mode) that creates a Windows window for each top-level X window. The internal window manager is launched using the -multiwindow command-line parameter to XWin.exe. See the Section called Command Line Parameters in Chapter 3 for more information on the -multiwindow command-line parameter.
External local window managers (e.g. twm, mwm (part of the lesstif package)). These local window managers must be installed on Cygwin; they are run locally and cannot be used together with the internal window manager.
Remote window managers via an XDMCP session, which you can read more about in the Section called Remote Sessions via XDMCP.
Remote window manager launched through an ssh tunnel. This is not Cygwin/X-specific, so you should be able to find information about launching remote window managers from other sources. See the Section called Secure ssh for more information on using ssh.