Sure, nothing is stopping you loading up the data dump using a tool like [SODDI][1] and running it locally on a windows box. I do so myself. There is some basic doco in the [readme][2]. 


  [1]: https://meta.stackexchange.com/questions/44330/do-you-want-to-quickly-and-easily-import-the-so-data-dump-into-your-sql-server
  [2]: http://code.google.com/p/stack-exchange-data-explorer/source/browse/Readme.txt