Yes, you need cygwin for this, and toolchain.
To install, you should go to sousnators guide here:
http://forums.qj.net/f-psp-development- ... 65331.html
Now, when you have installed it, Sousnator on his guide should tell you how to make eboots with the make file and you're main.c file.
You will also need a compiler.
Dev C++ since you're going to be making C files. (main.c to be exact)
You could use note pad but its strongly reccomended you use Dev C++.
Now, the actually compilling:
1. Get the LuaPlayer source
2. Learn how to compile it here(ul have 2 wait, server down)
3. Go into the LuaPlayer source code.
4. Go to LuaPlayer Source/src/auxiallry/boot.lua
5. Replace boot.lua with your script
6. Make sure your script is named boot.lua
7. Compile the EBOOT.
I believe that you must have only one script while doing this.