So you want to compile your C/C++ code to work on the PSP and want a quick and easy method to do so?
You've come to the right place! Here I present two options: DevkitPro and MinPSP.
Cygwin is basically a linux-like environment for windows. MinGW is another example of this.
The traditional way to develop on the PSP with windows is to install cygwin, and use it to compile the psp tool chain, which allows you to compile your PSP apps. What DevkitPro and MinPSP does is misses out the middle step - it is a precompiled development environment.
DevkitPro comes with MinGW. The best thing about DevkitPro is that it uses an installer and updater that downloads the latest toolchain, and installs everything for you.
Note that these precompiled envoronments aren't a complete substitute for cygwin, but they gets you started nice and quick. Advanced users may want to get cygwin running.
So what is the difference between DevkitPro and MinPSP? DevkitPro uses MinGW, whereas MinPSP lets you use your windows command prompt.
*Update*It seems that DevkitPro hasn't been updated in a while, so I recommend MinPSP.
MinPSPDownload DevkitProDevkitPro Official Site