You can run (A)GPL software on Windows, or with any proprietary software just not bundle together, to distribute/convey (objected to by Microsoft, and the GPL, or rather the GPL ok with it if you provide the source, at least with the written offer to provide it, it apply to others too).
It’s not even obvious you’re allowed to run GPL/copyleft on Windows, except since it’s allowed by the explicit “system library exception” (on the GPL side) that would apply to Window:
Also the GPL doesn’t care what you do in private. Even on a free operating system, like Linux, it’s not clear you can run proprietary there, except because it was declared so by Linus Torvalds:
If I made a proprietary software to run (only) on Linux, it wouldn’t be obvious it wouldn’t become derived software of the kernel, i.e. become GPL/copyleft itself. This is also dynamic linking. Yes, explicitly allowed allowed in Europe/EU (i.e. copyright doesn’t apply to interfaces, making derived work there), it seems to me, but not clear in the US.
See also: