If you are already using Cygwin, the instructions for building the SDK and GCC toolchain work fine, then you can develop in Cygwin on a Windows machine.
For installing on my laptop I used the source of the sdk / gcc & e-gcc tool-chain using github,
at
[url]github.com/parallella/epiphany-sdk/wiki/Downloading-the-SDK[/url]
updated the tools as specified, and built a working copy.
If you have problems with building the tool-chain, there are a few pointers here :
cheers, Beau