Edit (07/2012): As of now, there is a decent Windows editor for Lilypond, as Wilbert Berendsen has made his excellent Frescobaldi editor KDE independent. Find a full installer here.
It is, however, possible to tweak TeXworks (included in MikTeX), whose PDF viewer doesn't create a lock that keeps lilypond from compiling. You have to do two things: create a lilypond compiler profile in TeXworks and edit one of Lilypond's scheme files to prevent the PDF file from being deleted (else you get the "backend-library.scm Permission denied" error). I got the trick from this comp.tex.texworks thread (by Helge Kruse).
Compiler profile: Edit→Preferences→Typesetting: add <Windows program directory>/LilyPond/usr/bin to the list of paths on top and create a new processing tool "lilypond" with the app lilypond-windows.exe and the $fullname argument.
Lilypond tweak: Open the file <Windows program directory>/LilyPond/usr/share/lilypond/current/scm/backend-library.scm in an editor with admin permissions, search for these two lines:
(if (access? pdf-name W_OK)and comment them out (keep two closing parentheses):
;;(if (access? pdf-name W_OK)Remember to do this each time you update Lilypond.