When I exit Cygwin in Windows XP Pro, I am sometimes confirmed whether I am going to terminate batch job. Though, it does not always ask, I would like to get rid of that confirmation. After googling, it is found that making a new shortcut or modifying the existing shortcut to
C:\cygwin\bin\bash.exe --login -ifrom
C:\cygwin\cygwin.bat
In case you are going to make a new shortcut, the icon to cygwin locates under
%SystemDrive%\cygwin\Cygwin.ico.