JGE++ (Jas Game Engine++) is a hardware accelerated 2D game SDK for PSP. It supports cross-platform development under MS Windows. The entire game development process, including coding, debugging and testing, can be done in Windows. (However, it’s still recommended to test your game on PSP from time to time to make sure everything is fine.)

You can use JGE++ to make Windows games but the primary platform is PSP.

Thanks to http://www.dcemu.co.uk for the news.