Jose,
Do you mean that you would like to run the Brooklyn management console on a Windows machine? (not that you would like a Brooklyn management console to start and deploy to Windows cloud VMs)
A good question. I don't know if anyone has tried :-)
My expectation is that fundamentally it will work - brooklyn uses Java libraries for SSH (sshj) and cloud (jclouds) so I think the most common operations will work. Deploying to the localhost location will almost certainly fail, and some components of Brooklyn do execute external processes and will probably expect a Unix-style shell, so some operations may not work.
Please feel free to give it a try. My guess is that sooner or later there will be some bug - so let us know what you find!