download and put the setup.exe (or setup-x86.exe/setup-x86_64.exe) in cygwin root directory (C:\cygwin64).
"setup.exe -n -q -s ftp://lug.mtu.edu/cygwin -P curl,git,make"
This will install cURL, git, and make, with no shortcuts in quiet mode
Old question, but for others that google and got here: Official setup.exe has command line arguments which allowed me to prepare simple *.bat script - just put following line in e.g. "install-pkg.bat" and put that file into your root directory (e.g. C:\cygwin):
setup.exe --no-desktop --no-shortcuts --no-startmenu --quiet-mode --root "%cd%" --packages %*
You need to download and put http://www.cygwin.com/setup.exe into the same directory. Now all you have to do to install package is: