Edit: and yes, it does suck that we can't use Windows. But that is the Apple way.
Edit2: What you should do is buy a mac mini. They're only like $600 dollars. It's like a miniature desk top. You'll need a monitor, keyboard and mouse to go with it, but they are fairly cheap or you can use what you already have.
Sure, you can develop windows applications on windows, you can develop DOS applications from windows, but to develop iPhone apps you need to use a Mac 🙂