edtFTPnet/PRO is a client library which is used for making secure transfers (SFTP and FTPS) to/from FTP servers.
CompleteFTP is an FTP server for Windows supporting SFTP and FTPS (well, 1.1 doesn't support SFTP, but 2.0 will be released next week and does offer full SFTP support).
So if you want to connect to a Windows server running cygwin (including an SFTP server on port 22), you'll need edtFTPnet/PRO.
If you don't want to use cygwin for the SFTP server, you can replace it with CompleteFTP.