Here are the steps:

Download Cygwin corresponding to your system.
Install Cygwin. When asked for what server to download from, click on anyone.
Press the + button beside the “Default” package, find the package “devel” and make it the default package.
Click next, select required packages option, finish your download.
Download Hydra.
Unzip the file using a program like Winrar.
Move the file into your main drive “C:”
Open the Cygwin terminal.
Search for cmd in the start menu, right click and click “run as administrator”.
Type “NetSh Advfirewall set all profiles state off” to turn off your firewall. Manually turn off your other antiviruses.
Type “cd /cygdrive/c/hydra-8.1.tar” on Cygwin terminal. Look for the yellow text besides your username saying “/cygdrive/c/hydra-8.1.tar”
Type “./configure”, wait for 2 or 3 minutes to make sure it stopped.
Type “make”, wait for 2 or 3 minutes to make sure it stopped.
Type “make install”, wait for 2 or 3 minutes to make sure it stopped.
Close it if you’re done, right click your Cygwin shortcut, go into properties and make the start in “C:\hydra-8.1.tar” and rename it hydra.
Turn your firewall and antivirus back on