This is a function of Radar rather than EGPWS. It's fitted to many aircraft now (all of EZYs 737NGs for example).
A predictive windshear system uses colour displays to alert crews. Using weather radar, the system looks for downbursts of air which indicate windshear conditions that the aircraft might encounter when landing or taking off. When a downburst is found, the system sounds a voice alert and also provides a red or yellow icon on the display screen.
Since the windshear hazard is greatest on approach or takeoff, the weather radar’s windshear mode automatically activates when the aircraft is below (typically) 2,300 feet. The radar adjusts all parameters required for windshear detection and alerts the pilot through an icon displayed on his weather radar screen and through an aural warning.
Information is displayed either on a stand-alone weather radar indicator or on a flight instrument—usually the navigation display.
The radar must have some weather to look at - ie it is not capable of 'seeing' CAT. I know this is in the development stage but not sure if they have actually produced a working model yet.