I try to assume that You installed and set everything rigth.
Open Cygwin. (We will build copter)
make sitl -j4
You will build firmware for first time
In order to start SITL with Xplane, move to desired platform (we build copter)
sim_vehicle.py -j4 -D -f xplane-heli --console --map
Now if everything is right, You will see also MAVProxy window
Now start Xplane, once he will be ready, You will see data in MAVProxy.
Now open MP, choose UDP connection and press CONNECT. You will see window promt with 14550 port. Press ok, after that MP will connect to MAVProxy, which is connected to xplane.
Now You can control your copter with MP.
Take a look at the bottom of the wiki, since You need to setup helicopter with two additional requirements.