Spent the past 3 years getting very comfortable using a Mac/Unix environment, but have mainly been using a Windows Server at work for hosting my sites. Now striving to reach Drupal ninja status, thought it was time to use Drush on the Windows  server instead of just my DEV machines.
Pretty easy to get the basics of Drush running, although kept getting these annoying 'Cannot find module (IP-MIB): At line 0 in (none)' errors in every command being executed on the MS-DOS CLI... Bit of Googling found that this is a PHP error because the MIB files need to be on every Windows drive that you are executing PHP scripts. Even though my main website directories are on the D: drive, Drush is on my C: drive.
So, solution is to find the \USR folder, then copy \USR\mibs to the root of each drive you want to execute Drush (or, indeed, any PHP scripts) from. If you know tons about PHP (and I don't) you can probably disable the offending PHP extensions in php.ini - but in my case 'it ain't broke' so I'm going to leave as much of my PHP configuration alone as possible.