I got this error when I tried to use http://cygwin.com/setup.exe and not http://cygwin.com/setup-x86.exe or http://cygwin.com/setup-x86_64.exe. It seems the mirrors have just recently removed support for setup.exe. The setup.exe is still available to download but none of the mirrors work.
The solution is to use either the setup-x86.exe or the setup-x86_64.exe.