actually, there's an unofficial toolchain that works in windows and linux. you'll need cygwin installed on your pc to be able to work with it in windows.
here's a link to the basic setup: link
though this will not allow you to publish to the AppStore, it's just a good way to mess around with the SDK. Also, whenever Apple updates the iPhone firmware, you'll need to find/wait for the updated toolchain or do some hacking of your own to get the updates headers, etc...
