ghci command history broken under rxvt and xterm

When using ghci with rxvt under cygwin, the command history doesn't work.   
When I press the up arrow, for example, the cursor moves up, instead of  
showing the previous command.  xterm has the same problem, but with  
cygwin's default console it works.

I don't know where to start looking.  Maybe this is something solveable  
thinkering with ~/.inputrc, but I'm not knowledgeable enough about it.

Regards,
Bruno