Who says no Official iPhone SDK in windows?
Although I'm pretty sure it has been done before, With some Magic from VMWare Workstation, and a modified Leopard Install Disk, It is indeed possible to use Apple's Official SDK in Windows (Along with anything Mac). No need for Cygwin anymore.
Lets see how this turns out. As you can see by the "3 Hours and 6 Minutes" at the bottom, this process is painfully slow (Partially due to the fact that I have only 2 GB of RAM, and only 1 GB is being allocated to Leopard). I still have 3 hours to go.
I'll post whatever happens here.
UPDATE: The whole machine crashed

I'll try to get it to install again. Back to square one.