It is not possible, and if it is possible, it is not worth your effort. Developing for the iPhone is only supported on Mac OS X through the Apple Xcode Developer Tools and Official iPhone SDK. While there are alternative toolchains out there (I don't know how good those are), you will almost certainly not be able to distribute your application to the App Store if you use those build tools. In addition, trying to setup your own cross-compiler environment can be quite painful. If you already don't care whether or not your application makes it into the App Store, then I suggest (from a purely technical standpoint) you buy a copy of Mac OS X Snow Leopard for $30 and violate the Apple EULA by installing it in a copy of VirtualBox on your Windows XP machine. You can then download and install the official Xcode developer tools and iPhone SDK in your virtual environment.
If you truly want to develop for the iPhone or have made the right ethical choice to not violate Apple's EULA, then I suggest you get yourself a used or refurbished Mac to develop on, or splurge for a new Mac laptop.