I ran into the problem, that wget was not able to download from https://www.kernel.org, so I downloaded the ca-certificates for cygwin. But even after that it was not possible to download. For some reason the ca-certificates does not create a link to /etc/ssl where wget expects the certificates. So fixing is fairly easy and you do not have to do the downloading of certs from some website where you never know what bad certificate is also listed.
ln -s /usr/ssl /etc/ssl
Done.