I've spent the last days integrating a patch from Spencer Oliver that allows native Windows builds of OpenOCD using MinGW, which is now available as SVN revision 78. There's one minor issue causing OpenOCD to quit when a GDB session is detached. This will be fixed in the next SVN commit.
Michael Fischer has added a new page to his website explaining how OpenOCD has to be installed. You can find his page at http://www.usbdip.de/en/openocd/index.html. Thanks a lot Michael.
The xscale support is still going to take some time, as I'm still busy with some exams, but all the major parts are already working.