Is there any way to work on Objective-J in Windows platform ? Any such IDE, Compiler for Objective-J for windows ?
Is Cappuccino developed only for Windows?
Objective-J can be developed in Windows. If you don't need to compile Cappuccino itself, you should be able to just download the starter pack on http://cappuccino.org/download/ and go from there. The jake and objjc compilers should work just fine (although I haven't tested it). If you want to compile Cappuccino yourself, you'll probably need to install Cygwin to get gcc (its preprocessor is used).
Many Cappuccino coders use the Sublime Text 2 to edit Objective-J and Cappuccino code. That editor is available for Windows and I expect the Objective-J and Cappuccino package will work just fine there.