Today was a long day, I had multiple issues in installing cygwin, python, AWS and mix-up for packages between cygwin vs Anaconda.
But, good part is it all worked out eventually. Thanks to the wonderful forum community support.
I had to uninstall awscli which wasn't going through.
Figured that my python was in cygwin but, AWS was in Anaconda.
@sindhuv's suggestion of removing Anaconda helped solve this.
I now have aws configured.
Next issue though is that I'm from "ap-south-1a" [Mumbai] region and will need setup_p2.sh for this region. If anybody has this script, please share.
I've already put a request for p2.xlarge EC2 instance..