I, too, use Ivanovic's toolchain on Linux, but lately mostly my own SDK build on Windows (maybe I should make some sort of guide on that as all existing toolchains are for Linux only...).
There is a really old thread on the gp32x forums, http://www.gp32x.com...ing-on-windows/
It's not a complete toolchain, but you get a working one if you follow Rockthesmurfs guide a few posts down.
It works on HF5 atleast.
Although a more recent, up-to-date guide or tool-chain would probably be greatly appreciated by all windows users.
Toolchain: codesourcery (See link above), lib's from DJWillis toolchain with some additional libs added. I also compile natively.
OS: Windows 7 And Ubuntu 9.x 64-bit
Editor: Code::blocks SVN7452
debugging: gdb(win), gdbserver(panda), valgrind (with alleyoop as frontend)
Other tools: putty (ssh, telnet, etc client), msys with mingw
It might also be worth mentioning profiling with gproof.