Stable binaries and (some) source packages could be downloaded from the kde-cygwin download area of this project. Additional you may take a look into the snapshots area which contains all packages, which are not in the official file release area.
You may find bzip2 or gzip compressed tar files, which are designed to be unpacked unter your cygwin installation root using a bash shell.
cd / tar -C / -xjf <packagefile>.tar.bz2 [for bzip2 files] tar -C / -xzf <packagefile>.tar.gz [for gzip files]
Additional you may find some windows executables, for example the KDE 3 releases, which uses a special windows installer and allows to install KDE/cygwin like any other windows application.
Before downloading you should consult the specific installation sections of the related package, which can be reached under the term "Packages" on the left side menue.
Especially if you encounter installation problems, please take a look at the FAQs section. You may find there solutions for your problem.