The reason for the error is that the FEFLOW import filter cannot execute bash.exe, which is needed for running this awk script filter.
I would recommend the following solution: Add the path of the Cygwin installation to the PATH environment variable of Windows. The path of the Cygwin binaries is usually something like C:\Program Files\Cygwin\bin.
Alternatively you could change the content of the *.flt file of the 2dm input filter in the 'filter' directory of the FEFLOW installation, replacing 'bash.exe' by the full path of the bash.exe executable in the bin directory of the Cygwin installation.
Hope that helps!
Peter