You could use Cygwin
as a compiler environment, but from the sounds of it, getting more linux experience would be more helpful.
While I'm fairly new to spending a lot of my time in linux, and there are a lot of things which still trip me up, if you want to jump in I'd suggest a Virtual Machine. That way, you can play to your hearts content without actually hosing an install on the real hardware. The ability to export VMs is great when you want to try something, but aren't sure if it's going to screw up the system you've put a lot of time into.
From there, have a play with Arch Linux (their documentation is excellent, and will show you the inner workings of some areas with something of a safety net), and possibly installing something like Ubuntu Server and building your own 'remix' - that'll give you a taste of Debian based distros, too.
From there you can look at downloading the Linux From Scratch
books (free) which will guide you through building a distro like it says on the tin - from scratch. LFS can be a bit unforgiving, though, hence the suggestion for getting a little more up to speed via softer routes first...