I use the amazon command line tools a lot, its often a quicker way to accomplish things quickly versus the AWS web interface, though the AWS web interface has gotten a lot better over the past few years)
In this guide I am going to show how to set up the command lines tools using Cygwin, I have another (slightly different guide for Ubuntu)
Cygwin AWS setup
First you need a place to put all the keys you will use from AWS. These keys will be referenced by your program
Open up Cygwin and from the home directory create a “.ec2” folder .
> mkdir ~/.ec2
Get the keys setup
Now get some keys to put in there.
Open up http://aws.amazon.com/
Click on My Account/Console -> Security Credentials
Sign in using your username/password
Scroll down to the “Access Credentials” and select the X.509 Certificates and click Create a new Certificate.
Click on Download Private Key File and save the file to the .ec2 folder
Then click on the “Download X.509 Certificate” button and save the certificate to the .ec2 folder
Now log into AWS Management Console
Open up http://aws.amazon.com 
Click on My Account/Console -> AWS Management Console
Click on EC2
Click on Key Pairs under the “Network & Security”
Click on Create Key Pair
Give it a name and click create.
A prompt to save this file will appear, save it to the .ec2 directory
Install Command line tools
Open http://aws.amazon.com/developertools 
And do a quick search for command-line.
Here is a EC2 command line tool. You will see that there are different command line tools for different AWS services (EC2, RDS, etc) For now just get the EC2 command line tool
This is the main EC2 command line API tool to look for.
It is located at
Click on Download the Amazon EC2 API tools from Amazon S3
Create a folder in your home directory named ec2-api-tools
> mkdir ec2-api-tools
Now unzip the downloaded command line tools into this directory
> cd ~/ec2-api-tools
> unzip /cygdrive/c/Users/patman/Downloads/ec2-api-tools.zip
> mv ec2-api-tools-1.6.4/* .
> rm -r ec2-api-tools-1.6.4
> ls -alh
This should put a bin and a lib folder
> vi .bashrc
Add the following to the end of the file
If your "default" region is not going to be the east coast you can set your default region in your bash file
This would be for the Oregon (us-west-2) region
> source .bashrc
You may need to close and reopone the Cygwin window as source does not seem to work, at least for me.
Now attempt to run this command
If you want to check a different region than your default region use the --region flag
> ec2-describe-keypairs --region us-west-2
You may get an error like this
If this is the case then within Cygwin run the following commands
(assuming you have Java installed on your machine)
> mkdir -p /cygdrive/c/Windows/System32/java/bin
> cp /cygdrive/c/Windows/System32/java.exe /cygdrive/c/Windows/System32/java/bin/
Now rerun the command.
This will list your keypairs
(I whited my actual numbers out J )
 Amazon Web Services
 AWS Developer Tools