3) Make a batch file that'll run an Arc REPL for me when I double-click it. Here's my batch file, with a boatload of comments to help you figure out what I'm doing: http://gist.github.com/576688 There's probably some room for improvement, but it's what I'm happily using at the moment. (Note that it crashes a bit if you close the terminal window while Racket 5.0.1 is running, instead of exiting via a Racket (exit) call or an Arc (quit) call. I think this is a Racket issue, since previous versions don't crash that way.)
4) Make some necessary changes to Arc so that it stops giving errors on Windows. There are two main issues here. For Arc to start at all, you'll need to fix 'setuid (http://arclanguage.org/item?id=10625). Then, if you also want to run web applications, you'll probably need to fix the system call to mkdir (http://arclanguage.org/item?id=4652), and I wouldn't be surprised if one of the other system calls breaks too.
If you've already installed Cygwin, the system call issues may not exist, but I'm not totally sure of that. I know I only encountered the mkdir issue on a Cygwin-free Windows computer after having used Arc on a Cygwin-ful Windows computer for quite a while... but I'm not sure I've ever actually tried to run Arc web applications on the Cygwin-ful computer.
Tip: At least for me (on a Mac), running Arc with "[racket|mzscheme] -f as.scm" and then hitting ctrl-C at some point will kill the whole process, instead of dropping to a [Racket|Scheme] prompt from which I can use (tl) to return to the arc> prompt. Replacing the command with "[racket|mzscheme] -i -f as.scm", -i for interactive, fixes this. Much better.
I used to have 'cd ~/Dropbox/arc3.1;' before the 'rlwrap ...' part; the aload function and all the Arc files that load other Arc files (libs.arc) assume that you're in the Arc directory. I worked around this by wrapping all the calls to 'aload in as.scm like this: