How do I download SCP and ssh on Cygwin?
Whenever you want to add new packages to Cygwin you run the setup.exe file again as if installing from scratch. The Cygwin setup can be downloaded here. then search for the openssh package and install it. (remember you can do this even after having it installed, it'll just add what you need)
When you run the Cygwin installer again to install new packages, you might notice that searching for "scp" produces no results.
It's actually part of the "openssh" package.
Nowadays, you do not need Cygwin to get Windows OpenSSH build.
You can use Win32-OpenSSH, what is Microsoft official build of OpenSSH for Windows. On Windows 10 version 1803 or newer, you already have OpenSSH built-in. On older versions of Windows 10, it can be installed as an optional Windows feature. On older versions of Windows, you can just extract the scp.exe, ssh.exe and libcrypto.dll from a .zip (latest release), no installation is need.
Another way is to install Windows subsystem for Linux. The OpenSSH sftp and ssh are included.