In the past I have installed cygwin and sshd on Windows, so that I can log in to localhost via PuTTY, because I like PuTTY better than the default cygwin shell or rxvt.
I was just setting that up tonight, when I ran into a PuTTY version that does not require sshd to log in to Windows localhost, only cygwin.
http://code.google.com/p/puttycyg/
So far so good.