If you are using Scsh on Cygwin (win32), you will need to copy
cygwin1.dll to you c:\windows\system directory, and your .emacs file
should be placed in c:\documents and settings\your user's name\; it
should look something like:
(append load-path '("c:/cygwin/usr/local/bin/")))
(setq scheme-program-name "c:/cygwin/usr/local/bin/scsh")
"Run an inferior Scheme process."
Make sure you use _forward_ slashes, otherwise Emacs won't find your scsh.