Unfortunately, there's no Lydia application available for Windows Phone at this moment.
In the meanwhile, you can still exchange money with your friends who use Lydia on Android or iPhone. They can send you money or request money with the app.
When a friend sends you money with Lydia, you'll receive an email or a text with a link enabling you to type your IBAN to cash out the money to your bank account.
When a friend sends you a request for money, you'll receive a link enabling you to pay him by typing your credit card numbers, on a secured page.