For build WiiSX you just need devKitPro. Download it and be sure of install devKitPPC.
When you have downloaded it, decompress it at the root of your HDD (for example C:\source). Then, open the shell of Windows (Start Menu > Execute > cmd.exe).
Browse to the folder (cd C:\source\gamecube) and type make -f Makefile_Wii for make the Wii version or make for make the normal version.