Sure, you can run it on XP.
But it is not smooth, you still have to run on cygwin console from time to time.
If you want uClinux, you should learn Linux and do it on Linux.
Use a Samba server/client to share between XP and Linux.
You can develop hardware on XP, build software on Linux, then download/debug on XP.
You can use VNC server/client or KVM switcher to work with only one monitor/keyboard/mouse.
Marc have a good site for nios2 toolchain on Linux,
http://scorpius.homelinux.org/~marc/nios2.html (
http://scorpius.homelinux.org/~marc/nios2.html).