You have to have X forwarding set up and have the cygwin X server installed and running.
First, install the cygwin X server using cygwin's setup.exe. Then, start it by typing startxwin
in a cygwin shell. Then try your ssh again. If it still doesn't work, try ssh -Y user@server
.
If it still doesn't work, you should make sure it's enabled in your ssh config: /etc/ssh_config
Look for the option ForwardX11
and enable it.