Several people have still been having problems installing all the python packages required for doing the exercises in the NLTK book, especially Windows users. After digging around a bit more, I have discovered another possible solution. Try installing the python distribution from Enthought. It comes pre-packaged with a bunch of different packages like matplotlib, numpy, and scipy. It is a big download, but it seemed to work ok for me. After installing that, I re-installed the nltk using the Windows .msi installed from the nltk website. Once you have these installed, you can run python using the IDLE program, which should be in your start menu.
If you want to use this version of python through cygwin, you need to add it to your path.
From cygwin, type:
nano ~/.bash_profile
And edit the file to include:
export PATH="/cygdrive/c/Python25:${PATH"}
Then quit and restart cygwin.
I hope this works for those people who have still been having problems.