The default installation of Cygwin tetex does not seem to have the
right permissions for Vista to be happy (with User Account Protection
turned on, as is default).  Here is an example of an error message:

$ latex filename.tex
This is pdfeTeXk, Version 3.141592-1.21a-2.2 (Web2C 7.5.4)
 file:line:error style messages enabled.
 %&-line parsing enabled.
kpathsea: Running mktexfmt latex.fmt
tcfmgr: config file `tcfmgr.map' (usually in $TEXMFMAIN/texconfig) not found.
fmtutil: config file `fmtutil.cnf' not found.
I can't find the format file `latex.fmt'!

It seems necessary to chmod -R u+w some subset of
/var/cache/fonts, /usr/share/texmf, /usr/lib/texmf
for latex to properly be able to build latex.fmt,
ditto for pdflatex, and kpathsea to build fonts.
Presumably this should happen in the initial installation,
or somehow the permission issue should be avoided.

Erik

P.S. I tried rebuilding the tetex hash via texconfig as Administrator,
     but that was not enough by itself.

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