FROM THE BINARY PACKAGE:

Just copy the exe into your PATH and ensure it is executable, e.g.:
$ cp ssh-pageant.exe /usr/bin/
$ chmod 755 /usr/bin/ssh-pageant.exe

Optionally, copy the manpage as well:
$ cp ssh-pageant.1 /usr/share/man/man1/

To uninstall, just remove those copied files:
$ rm /usr/bin/ssh-pageant.exe
$ rm /usr/share/man/man1/ssh-pageant.1


FROM SOURCE:

First, make sure you've already installed "make" and "gcc-core" from the Cygwin
installer.  If you'd like to follow the latest source, install "git" as well.
Then retrieve the latest with:
$ git clone git://github.com/cuviper/ssh-pageant.git

To compile ssh-pageant:
$ make

To install to the default path, /usr:
$ make install

To install to some other path, e.g. /usr/local:
$ make install PREFIX=/usr/local

To uninstall:
$ make uninstall  # with PREFIX too, if installed that way
