Question: Does it work on a Windows server?
Answer: Yes and No and Yes again? Need more analysis.
I noted in the-events-calendar forum that someone was having difficulty getting the sub-displays of the events calendar to appear using custom menus.
I had the same problem on my local windows server. So I followed his workaround and got it going.
I then drafted this in blog post.
What windows can do vs can’t
Windows machines can’t show /events/upcoming but can do http://qw/wordpress/?cat=4&eventDisplay=upcoming
ditto for the event calendar: not events/calendar but can do http://qw/wordpress/?cat=4&eventDisplay=month
then there are past events http://qw/wordpress/?cat=4&eventDisplay=past
By date &cat=&eventDisplay=bydate&eventDate=2010-01-02
Note: I didn’t actually find the correct format for the date!
More details about the options at http://wordpress.org/extend/plugins/the-events-calendar/other_notes/