You need an ARM cross compiler to use ConVEX under Windows or OSX. The compiler and its companion programs are know as a toolchain, these are commercially available but we will use the free GNU version. It's possible to build the GCC ARM toolchain from scratch but it's easier to use a pre-built version. I tested ConVEX using two different ones, Sourcery CodeBench Lite and Yagarto.
Sourcery Codebench is maintained by Mentor Graphics, they have three editions in addition to the command line only Lite version ranging in price from $99 for an Academic version to $3000 for the full professional one with all the bells and whistles.
Sourcery Lite can be found here sourcery-codebench-lite
The version we need is the EABI release for ARM processors.
You need to register and then they will send a link where it can be downloaded.
Yagarto stands for Yet another GNU ARM Toolchain, the web site for this development is here.
The work on this project was finished a couple of years ago and I'm not sure if they will continue building releases using the latest GNU source code, however, I find it a little easier to install than Sourcery.
The toolchain installers are here.
Windows.
sourceforge.net/projects/yagarto/files/YAGARTO for Windows
OSX.
sourceforge.net/projects/yagarto/files/YAGARTO for Mac OSX
The install process is pretty simple, just accept the defaults and allow the installer to update the PATH environmental variable.
If you don't have the standard utilities installed like make, sh, rm, cp and mkdir then Yagarto also has a simplified subset that can be installed from here.
Windows
yagarto-tools-20121018-setup.exe
Again, the install process is pretty simple, just accept the defaults and allow the installer to update the PATH envirinmental variable.
OSX
You probably need the OSX developer tools
Bottom line is that you need the make utility, check from the command line in a shell if you have it installed.
>make --version GNU Make 3.81 Copyright (C) 2006 Free Software Foundation, Inc. This is free software; see the source for copying conditions. There is NO warranty; not even for MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.
If I've lost you at this point then ConVEX is probably not for you.
There's a bit more information on installing bare metal toolchains here.
www.emb4fun.de