For windows users there is a new homebrew PSPSDK that requires no cygwin installation and integrates with popular IDEs (Visual Studio, Eclipse)
It allows users to compile all the samples from the SDK from a DOS command line box and also other samples such as the minifireASM.
To make things even easier there are 26 devpaks, that are installers that will add popular Open Source libraries to the SDK making them ready to use without the fuzz of having to build them yourself and managing the dependencies.
Version 0.7.1 is up to date to the SVN reppo and includes gcc, gdb, docs, man reader, info viewer, docs and visual studio integration.