openpandora_toolchain.sh works with minimal changes on Cygwin/Win7, btw. Didn't try to compile anything yet, but the toolchain installer completes without errors. I'll write something up later on if anyone is interested.
Just a handfull of changes in the script itself: Replace TOOLCHAIN_URL and the other variables for Windows release, and the wget call needs an --no-check-certificate.
Cygwin does not have a gpgme package, which is a prerequisite for building opkg. I have a quite complete Cygwin installation, but had to add things like pkg-config, ncurses, libgpg-error-devel, ond some other fairly obvious small suff. After building libassuan and gpgme with default settings, the newly compiled opkg binary threw some library error, and I had to run an rebaseall to get rid of that.