If you're referring to the size of the command history, this is configured by the $HISTSIZE environment variable.
Try setting %HISTSIZE% (in Windows) or $HISTSIZE (in Bash, ie .profile).
A quick google search turned up:
http://cygwin.com/cygwin-ug-net/setup-files.html
It contains some tips for setting up Bash with Cygwin on Windows.
Note for instance the section on ".profile" for setting up environment variables.
