Not really sure if this counts as a Linux question, but what the hey...
Run the setup again, and take a look through the available packages. There's an X11 group, which'll give you a basic GUI system, (type "startx" to get going once its installed), and a Gnome group (I don't use this, so I don't know how good it is). I'm told that KDE for Cygwin also exists, but I've never tried to install or use it. The basic X11 on it's own doesn't give you a lot, but browse through the package list, and there's plenty of useful GUI programs.