Do you have C:\\Windows\\system32\\ftp.exe?  (presumably yes, but I need 
to confirm)

How are you adding packages?  From setup.exe?  If so, this is probably a 
Cygwin problem.

If an installer, maybe you don't have ftp.exe where the installer 
expects it to be.

If XEmacs using M-x list-packages and you have ftp.exe, it sounds like 
XEmacs is getting confused in the middle of the operation.  Does it work 
to restart XEmacs and continue adding packages from there?  How about if 
you try different packages? Ie, does it seem to matter which packages 
you are trying to download?

I have recently installed 21.4.21.  I was adding packages for a bit,
then began to encounter

Peculiar error (file-error "Error starting" "Invalid argument"
("c:\\Windows\\system32\\ftp.exe"))

Not sure where to go from this