I'm pretty sure it will work with a windows phone. You just have to connect via bluetooth like you would any other type of device, (e.g. bluetooth headset, bluetoth mobile speakers...)
The only thing that most likely won't work is the SongPal app. I don't think sony has a Windows mobile version, just Apple and Android.
It is also possible that playing music files through the USB might not work either. I'm not sure about this one. I think it might depend on the phone and what USB drivers it uses. I wouldn't be surprised if it did work though. I would expect it to.