Set Cygwin RXVT Window Title

Here's How

You can always set the xterm title by sending it the string:

 Esc ] 0 ;
<your title> ^G

You can do it from the xterm application (writing to/dev/tty or stdout if its connected, or externally, by writing to /dev/tty<n> [Cygwin] or /dev/pts/<n> [Linux]).