I'm aware this is a very old post, but I have found a solution which has only become available more recently AND enables nearly all Objective-C 2.0 features on the Windows platform.
With the advent of gcc 4.6, support for Objective-C 2.0 language features (blocks, dot syntax, synthesised properties, etc) was added to the Objective-C compiler (see the release notes for full details). Their runtime has also been updated to work almost identically to Apple's own Objective-C 2.0 runtime. In short this means that (almost) any program that will legitimately compile with Clang on a Mac will also compile with gcc 4.6 without modification.
As a side-note, one feature that is not available is dictionary/array/etc literals as they are all hard-coded into Clang to use Apple's NSDictionary, NSArray, NSNumber, etc classes.
However, if you are happy to live without Apple's extensive frameworks, you can.
As noted in other answers, GNUStep and the Cocotron provide modified versions of Apple's class libraries, or you can write your own (my preferred option).
MinGW is one way to get GCC 4.6 on the Windows platform, and can be downloaded from The MinGW website. Make sure when you install it you include the installation of C, C++, Objective-C and Objective-C++. While optional, I would also suggest installing the MSYS environment.
Once installed, Objective-C 2.0 source can be compiled with:
gcc MyFile.m -lobjc -std=c99 -fobjc-exceptions -fconstant-string-class=clsname (etc, additional flags, see documentation)
MinGW also includes support for compiling native GUI Windows applications with the -mwindows
flag. For example:
g++ -mwindows MyFile.cpp
I have not attempted it yet, but I imagine if you wrap your Objective-C classes in Objective-C++ at the highest possible layer, you should be able to successfully intertwine native Windows GUI C++ and Objective-C all in the one Windows Application.