On opening cygwin-window there is Error (2)

[Die5Willes]

I'm running Windows 2000 Professional. lilypond 1.6.11 seems to work fine so 
far, but right on opening the bash-shell "Cygwin" there occurs a message:
"Error (2): Das System kann die angegebene Datei nicht finden"
In english: "The system can't find the specified file".
If I'm running ly2dvi eveything is working properly.
My computers name does *NOT* contain spaces!
Oh, by the way:
What am I supposed to type beyond "ly2dvi" to avoid this awful message:
"DeprecationWarning: Please use the "re" module, not the "pre" module"

Greetings
Stefan