This was not supported (and still isn't officially). But rumors have been circulating about a port of CubicWeb on Windows.
I can confirm that there is some truth in this. A few changesets have been circulating, to be merged in the official repository any time now, enabling one to run CubicWeb on Windows. Support for running CubicWeb as a Windows service is not available yet, but should become available in the next few weeks.
Update: check out the source of the 3.5 branch, and you will be able to create and start instances on Windows. Use cubicweb-ctl start -D for non daemon start.