On Windows with Cygwin, setting up an SSH proxy works just like it does under Linux/BSD, pretty easy to do[0]. I prefer it over Putty because Putty doesn't accept the same SSH key as used on unix systems which is a bit of a pain to deal with. I also think it's nicer using the Cygwin bash shell as the terminal, especially if needing to use it frequently.

[0] If anyone doesn't know how, here's a good resource (actually not specific to OS or linode vps): https://www.linode.com/docs/networking/ssh/setting-up-an-ssh...