http://www.psp-programming.com/tutorials/
And if installing cygwin is a problem, you could maybe start here http://forums.evilmana.com/index.php?topic=6.0
This is a new interest for me as well. I'm guessing that PSP homebrew has led/is leading to a sharp rise in people wanting to learn C/C++.
Not sure I'll actually stick with it myself, though.
Oops! The OP was asking about programming for the DS. Don't know how I missed that.
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