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Have a look at mintty as well, which is a Cygwin-only terminal based on PuTTY's terminal emulation. Available through setup.exe (under 'Shells') or from http://mintty.googlecode.com. Among other features, it's got improved xterm compatibility; perhaps that'll help with screen.
Thanks for that link. Dead useful. Didnt realize cygwin had such a cool feature like that. Copy and paste! Awesome! I still dont understand why Windows does not do something like that out of the box...and also why there are no tabbed command prompts like Secure CRT does.