First things first, Cygwin/X-server must be installed and running on your machine, and you must have an SSH client installed. A reasonable free X server for Cygwin is XFree 86. F-secure is a good SSH client and it can be downloaded for free on the OIT website. To test if the x-server is running, ssh into your linuxlab account and type the command
xclock &at the prompt. If a separate window with a clock pops up, then X-server is running on your machine. If you get any error like "can't connect to server" or "can't open display", then X-server is not running on your machine or you haven't enabled X11 tunneling in your SSH client. Make sure you have X11 tunneling enabled in your SSH client otherwise you won't be able to open multiple windows.
Next, run the xset command from your linuxlab account. When you run the xset command, xset fp+ path to fonts.dir, the path refers to a path on your local machine. It has to be the path Cygwin recognizes. To see what I mean, use a cygwin Xterm window to navigate through your directory to the fonts.dir file. The file path you see at the prompt is the path that needs to be given in the xset command. For the directory I unzipped my fonts to, the path is /cygdrive/c/cygwin/font. If you get error #58 after you run the xset command, it pretty much means that the fonts.dir file wasn't in the path you specified.
If the fonts.dir file that you specified is the right one, and you still get the "cannot find VGA font" error, you might have to run the command
makefontdir path to fonts.diron your font directory. The command has to be run locally from a cygwin xterm. I'm not sure why, but I had to do this on my home computer but not on my laptop. In fact, I get an error when I try to run it on my laptop. Who knows how these things work?