I entered ssh-host-config
into the cygwin prompt (started with admin privileges), said yes to privilege separation, new local account sshd, install sshd as a servic
I followed the steps in this topic and the problem was still happening, then I checked the sshd log file and it was complaining that the privilegies of the ssh private key were to open.
I executed the follow command:
chmod 400 /etc/ssh_host_ecdsa_key
Then I run the service:
net start sshd
It finally worked (BTW: I am using Windows 8)