Firstly Obj-C support is built into GCC which as a cross platform compiler should run on Windows.

GNUStep is an open source effort to clone the old OpenStep frameworks which became Mac OS X when Apple bought NeXT. See http://www.gnustep.org/

You might need to use cygwin (http://www.cygwin.com/) which is a set of a dll and other tools to allow you to compile and run otherwise UNIX only programs.

I know this is the Mac OS X section but it's a worthy question, and so I for one would be interested to know how you get on.

Senjaz