I'm still sorting this out myself, I'm going to give a short tutorial about compiling something from the Windows command line, the rest will be explained when the Pandora is released
To compile your applications to the ARM architecture you're going to need a cross-compiler. Cpasjuste on the forums has made a nice script to get a build environment & libraries installed on Ubuntu/Debian systems. Check it: http://www.gp32x.com/board/index.php?/topic/52343-pandora-sdk-installer/page__view__findpost__p__823883
If you want a bit more control, Code-Sourcery hosts a bunch of cross-compiling suites for various platforms on their site, some editions have to be paid for, but they do have "lite" editions without support that are completely free.
Head up onto here, http://www.codesourcery.com/sgpp/lite/arm/releases/2007q3
You want the "ARM GNU/Linux" option, then choose whichever operating system you're running bellow.