Well, essentially, you create a cross compiler and it's just like using gcc, but for prizm. I had success doing this on my mac, but it was a little difficult. With windows, I believe you would need cygwin, but all the binaries are already compiled for you, so I would suggest that, and download prizmSDK-0.3 from this site: http://jonimoose.net/calcstuff/prizm/
With *nix, you basically have to compile a cross compiler. I'm working on getting a topic up on how to do that.