If bash is running under rxvt, you should try this with bash running under the stock Windows console as there are some known bugs with rxvt's emulation of Unix pseudo-tty devices under Windows.

If your installed version of MSYS is new enough, you can just edit the shortcut to add -norxvt to the command line. If not, rename rxvt.exe to xxx-rxvt.exe so that MSSY.bat can't find it. Either way, it will launch bash with the standard Windows console and many things will work better. More information can be found by searching the archives of the mailing list] for email mentioning problems with rxvt.