After rgvassar comment, I tried to check the chocolate. I saw that npm is deprecated here:
https://chocolatey.org/packages?q=npm
But I also saw that npm comes with nodejs. So I decided to upgrade nodejs. After upgrade of nodejs, I saw that npm is upgrade also.
Then I ran in CMD as admin:
npm install -g concurrently
I saw also that npm is not supported on cygwin. But since cygwin also can access windows cmd commands, I still can use on it as I understand, just need to do installation on CMD.
It was installed succesfully and now does not throw this error anymore.
Thanks a lot, especially for quick comments!