I am learning how to do socket programming, my tutorial is for Unix, so I need to use cygwin, but it's not handy to run code from prompt bash for me, so if anyone knows, please tell me how to make Embarcadero RAD Studio XE3 for Windows run with g++
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You cannot. C++builder XE3 generates executables for:
XE4 will generate executables for iOS as well.
However XE3 will not generate console applications that run on Unix.
Cygwin is a framework that allows unix console applications to run under Windows.
It only accepts Unix applications to run inside it.
If you want to write a unix console app, you'll have to compile your c++ code in a compiler that supports it, like gcc.