supressing NOTICE messages on Windows/cygwin only not working?

Hi,

I'm noticing NOTICE messages can't be turned off with my cygwin-based
platform. I've had other's confirm it works on linux.

Here is my session:

$ psql -U postgresql itn
Welcome to psql 7.4.5, the PostgreSQL interactive terminal.

Type: \copyright for distribution terms
\h for help with SQL commands
\? for help on internal slash commands
\g or terminate with semicolon to execute query
\q to quit

postgresql(at)[local][itn]>SET client_min_messages TO error;
SET
postgresql(at)[local][itn]>SHOW client_min_messages;
client_min_messages
---------------------
error
(1 row)

postgresql(at)[local][itn]>CREATE TABLE foobar(
itn(# id INTEGER NOT NULL,
itn(# PRIMARY KEY (id)
itn(# );
NOTICE: CREATE TABLE / PRIMARY KEY will create implicit index "foobar_pkey" for
table "foobar"
CREATE TABLE
postgresql(at)[local][itn]>SHOW client_min_messages;
client_min_messages
---------------------
error
(1 row)

postgresql(at)[local][itn]>

See anything wrong with what I did? There must be some setting I
haven't done. I'm on windows xp pro using the cygwin standard
install.

TIA