Well, I'm not sure what exactly are you asking for- Olly is quite platform independent (maybee some features aren't but the main part is) - it works on 98,NT,2K and XP too. If you are asking how to write such a debugger, first try to look at Iczelion's site, among his tutorials are three about this topic (debug api).
Concerning the analysis part, try to look for book Art of disassembly, it will give you a clue.
Good luck.