Is it possible to setup a development enviroment under windows 7 for msx with openmsx plus assembler?

Sure! If you are creating ROM files, you can simply start up openMSX with the ROM file. If you output other binary files you could let them end up in a folder and start up openMSX with dir-as-disk to that folder and run the software (e.g. by also adding an autoexec.bas to that folder).

under windows the ROM file is locked and then in the next turnaround the assembler cant write the file.
the windows COPY command too cant write the file.

meanwhile with dir-as-disk, with a F12 reset button script I get super turnaround times because the emu goes highspeed for some seconds, making a fast MSX boot.

I got this in the file mystuff.tcl in share/scripts :

namespace eval mystuff {
        bind F12 turnaround
        proc turnaround {} {
                after boot { set throttle off; after time 55 {set throttle on}}
                reset
        }
        namespace export turnaround
}
namespace import mystuff::*

It has been a while since I last did coding but this was my setup roughly in windows 7.

I use Textpad as editor.
In Textpad, I configured my assembler ( tniASM ) as "external tool" so that the file I worked on will be send to tniASM after pressing (if I recall correctly) ctrl+1, as if I was manually starting it in commandline. I also set up in a way that the source .asm files are saved in a /sources folder while the result goes to /compiled. In the source I can define the filename for tniasm to use.

Then, in blueMSX I bootup the correct machine in MSX-dos 2.3 (using a msx-dos disk), mount the /compiles folder as A: drive (just drag n drop the /compiled folder to blueMSX) and type the filename.com name but dont press Enter. I then press F8 to make a quick-savestate. I don't remember if .rom (or tape) can be done this way as well (by inserting old version of the project .rom to cartridge port A) or that I needed to insert it again after changes were made. I can test for you tomorrow if you like.

I primarily work with .com files, and my workflow would be
1. Code stuff in Textpad
2. Press ctrl+1 to compile to .com with tniASM + autosave source in Textpad
3. Alt-tab to blueMSX
4. Press F7 to load savestate) and then Enter
5. Test my code/game
5. Alt-tab to Textpad to code more
6. Ctrl+1
7. Etc

I think this doesnt work in openMSX because the files are locked so you need to close openMSX first (correct me if im wrong Manuel).

[edit]
Tested it, the above should work for openMSX as well.

When using the Windows file APIs, like File.Open in .NET, you can specify a share mode for other threads and processes.

See File.Open and FileShare.

I think this should allow you to open a file for read, but still allow read/write and even delete for other threads and processes.

about the windows lock. well one day I looked the source and found no fopen, I couldnt understand it.
so I guess. the ROMs are memory mapped files, keeping open. that's why a different behaviour than other files. maybe it can be done in a mode without locking.