The icon is called “PGI Workstation” and it should reside on your desktop.
It should have a mountain covered with snow on top with blue background.
Click on that icon, it should launch cygwin bash shell, from there you can type: make (if you have makefile created), or just type pgf90 yourprogram.f, etc.
If it is not there, then you probably chose not to create shortcut for PGI Workstation on your desktop when you install PGI Workstation.
In case you don’t have that shortcut, you can go to the installed directory and start up a pgi_env.bat and then start your bash shell.
For example, assuming it is 32-bit, and install in C drive:
% cd “C:\PROGRA~1\PGI\win32\7.1-2”
% call “C:\cygwin\bin\sh.exe”
Now, you should be able to do makefile with PGI compilers.