I have the same question.
I suggest you to use the Board Support Package and build the kernel, once built you can modify the source code and build your changes with the Intel Edison Image. I also suggest you to check the Kernel Development Manual for Yocto 1.7.2. You may find useful section 2.3.3 Modifying Source Code as well as section 5 Customizing the Linux Kernel in the BSP guide. About how to build it in Windows, this is not possible since the OSs supported to build Yocto are Ubuntu, Fedora, openSUSE, CentOS and Debian according to the Yocto 1.7.2 Megamanual section 1.3.1 Supported Linux Distributions. I hope you find this information helpful.