Wrong, it does not work on Vista (none of the main GNU tools do due to the changes to the windows security code).
The CygWin chains are fine on XP, 2K, NT4 etc. - More info can be found here.
As for a guide, I am happy to start one if people will pad it out but to be honest it is not high on my list at the moment as we are pushing for a firmware release, happy to help the usual #GP2XDev visitors if you catch me when I am about and maybe you could write a guide to return the favour.