If you use Windows, you are at a slight disadvantage when it comes to developing for the iPhone. Mac users have the (alleged) benefit of XCode. Windows users, however, must make it on their own.
Obviously, the first step is to get the toolchain up and running with Cygwin. Cygwin is a Linux shell (i.e. command prompt) emulator for Windows. It is distributed with a setup file that makes it very easy to download most of the components you'll need (sort of like Installer on the iPhone). To get everything setup, see the first entry of this blog.
You'll need a good text editor that is Unix friendly. Windows (DOS) uses a different combination of invisible keys to mark the end of each line than Unix. For this reason, I wouldn't recommend any Microsoft products.
The text editor I use is jEdit. It's a free download and has a good number of easy-to-install plugins. Fairly programmer friendly.
Once you have the toolchain up, you'll need to find a copy of the UIKit version of HelloWorld. HelloWorld, in case you are new to programming, is the traditional name for the first program you compile. It's a fairly worthless program, but it serves to a) test the toolchain and b) provide a template for your future programs.