In my opinion, you do not need Codewarrior AND MacOS to compile. But perhaps at least Codewarrior (which also exists for the windows platform).
If you have questions related to OpenPlay you might want to register to the mailinglist which may be found at the site where you downloaded OpenPlay.
If not, you might want to check http://www.publicsource.apple.com/projects/mail.html
I once found an interesting article about using DirectPlay for networking which criticized portability issues(you never know wether the protocol changes, even if you mastered to decode the DirectPlay Protocol, M$ might change it so that you cannot use the code for the other platforms anymore).