I have previously used the GNU FORTRAN compiler gfortran. But since the Intel FORTRAN compiler for Linux is available for personal non-commercial use I decided to give it a try. Is it possible to use it under Cygwin? I wouldn't know where to begin to get it to work, so all help is welcome.
My earlier comment turned into an answer of sorts ...
At first glance an interesting question. But what will you do with the executables that the compiler creates, if you manage to get that far ? I doubt that you will, but if you did you would have a Linux executable on a Windows platform (and cross-compiling for Windows from Linux is not supported by the Intel compiler). Don't forget that Cygwin is not Linux, it's a (DOS/Windows) program that provides Windows users with some of the facilities that Linux provides its users. To run an executable from the Cygwin command line the executable must have been built for DOS/Windows.
You might, and I have no experience either way, get further installing a Linux VM on your Windows PC and installing the compiler on the VM. You're still not going to get Windows executables out of a Linux compiler, but you would get, if success greeted you, executables running under the VM.