Can't say I have used Sphinx on windows (plenty of unix deploys though). Hamish (man behind the sphinx module) has actually changed to working on a fulltextsearchable module which one of the goals is windows support. Still in the very early stages however - https://github.com/silverstripe-labs/silverstripe-fulltextsearch. You may also want to checkout Marcus's Solr implementation as that also been known to work well on windows.

Have you tried sphinx on windows yet? Do you get any errors? From what I can see people have got it to work so not sure what related to the module might need to be tested (tmp dirs for one!)