NOTE: by default, setup.exe does NOT install everything in the Cygwin package. In fact, it probably will not install the necessary files to display Matlab's output on your home computer. On the appropriate screen, you need to click on the little round arrow icon next to 'All' until the word to the right reads 'install'. Warning, the installation will take a while and use up a lot of disk space, approximately 3GB!
startx
ssh -X -l username linux.engr.ucsb.edu
where username should be replaced by your user name. Enter your password.
NOTE: If you do the following and Matlab still doesn't work, instead try
ssh -Y -l username linux.engr.ucsb.edu
matlab
Note that the ssh command randomly assigns you to an engineering computer, based on the number of users on each machine. Not all engineering computers are able to run Matlab. If you get an error such as
/fs/eci.x86_rhl60/matlab7sp1/bin/glnx86/MATLAB: /lib/libc.so.6: version `GCC_3.0' not found (required by /fs/eci.x86_rhl60/matlab7sp1/bin/glnx86/../../sys/os/glnx86/libXm.so.2)
try the ssh command again to (hopefully) get onto another computer which can run Matlab.
A message such as
X Error of failed request: BadAtom (invalid Atom parameter)
Major opcode of failed request: 18 (X_ChangeProperty)
Atom id in failed request: 0xed
Serial number of failed request: 11
Current serial number in output stream: 12
can probably be ignored, and Matlab will work.
The basic idea is that you need to have the X-server running on your home computer, such as X-Win32. You may need to buy this, although you might be able to download a trial version instead. Next, log onto linux.engr.ucsb.edu with Putty. With Putty, you need to choose Connection -> ssh, and Tunnels -> Enable X11 Forwarding. Run matlab by typing "matlab" at the linux prompt, or if that doesn't work, typing "/fs/eci.x*/bin/matlab".
Expect some tinkering to get everything set up properly.