How can I get Cygwin to accurately read my Windows environment variables?

I'm using Windows XP with the latest version of Cygwin. If I set the following environment variable in my Windows system

JBOSS_HOME=C:/Program Files/jboss-4.2.3.GA

and then fire up Cygwin, I'm unable to switch to the inherited $JBOSS_HOME directory.

$ cd $JBOSS_HOME
cygwin warning:
  MS-DOS style path detected: C:/Program
  Preferred POSIX equivalent is: /cygdrive/c/Program
  CYGWIN environment variable option "nodosfilewarning" turns off this warning.
  Consult the user's guide for more details about POSIX paths:
    http://cygwin.com/cygwin-ug-net/using.html#using-pathnames
-bash: cd: C:/Program: No such file or directory

Is it possible to define my system variable once in the Windows environment and then get Cygwin to interpret it so that I don't get this "No such file or directory" warning?