For windows you need to just open the *.sln file with Visual Studio 2013 (Express or whichever version you prefer/have access to) as stated in the wiki: https://github.com/hrydgard/ppsspp/wiki/...structions
And the compile guide in the forums: http://forums.ppsspp.org/showthread.php?tid=5231
And the compile guide in the forums: http://forums.ppsspp.org/showthread.php?tid=5231