I\'m attempting to get into the directory /cygdrive/c/Users/my dir/Documents:
/cygdrive/c/Users/my dir/Documents
$ DOCS=\"/cygdrive/c/Users/my\\ dir/Documents\" $ echo $DOCS /cyg
To change to a directory with spaces on the name you just have to type like this:
cd My\ Documents
Hit enter and you will be good