If I understand the question correctly; I don't believe you can compile a linux kernel under Windows.

That said; in order to do it on an x86 box, you need a cross-compiler to compile it for the ARM architecture. Would gcc (djgpp?) cross-compile from windows x86 to linux on ARM? I haven't heard/seen of such a thing, but that is not to say that it doesn't exist. The cross-compiling would seem straight forward, but ... linking? I suppose it's possible, I've just not seen the tools to do it. Somebody correct me if I'm wrong here.