Oh my zsh on windows

Because of a missing line break on the source page, you missed the most important part of the install command: sh. The complete command should read

wget --no-check-certificate https://raw.github.com/haithembelhaj/oh-my-cygwin/master/oh-my-cygwin.sh -O - | sh

And given that, writing to stdout make perfectly sense.

However, better be always careful and don't blindly pipe an unknown script to sh. Instead you can download the commands to a file install.sh

wget --no-check-certificate https://raw.github.com/haithembelhaj/oh-my-cygwin/master/oh-my-cygwin.sh -O install.sh

Then, check what it's doing (less install.sh) and only then execute it

sh install.sh

If you look more closely at the github repo you just visited -- you will notice that the command line in the README.md below the repository is cut off (truncated) due to the formatting of the HTML of the page.

If you go here you will see that the full command is:

wget --no-check-certificate https://raw.github.com/haithembelhaj/oh-my-cygwin/master/oh-my-cygwin.sh -O - | sh

...which should work.

A little late, but you can try the following:

In order to install oh-my-zsh you can run the following commands:
with curl:
curl -L https://raw.github.com/robbyrussell/oh-my-zsh/master/tools/install.sh | sh
with wget:
wget --no-check-certificate https://raw.github.com/robbyrussell/oh-my-zsh/master/tools/install.sh -O - | sh
After installing oh-my-zsh, edit the file /etc/passwd
If you don't have that file, then you can create it with mkpasswd command:
$ mkpasswd > /etc/passwd
Then you edit that file, find your user-name and replace the end of line by /bin/zsh
e.g. david:*:...:U-JHERAX\david,...:/home/david:/bin/zsh
Take into account that if your logon user-name has spaces, then you should rename in order to avoid problems (see section 2.16.My Windows logon name has a space in it, will this cause problems?)
If you want to edit the zsh theme, you must edit the file /home/<user>/.zshrc and you'll see an environment variable ZSH_THEM then you set your favorite theme, e.g. ZSH_THEME="ys" (more info in github site oh-my-zsh)