One of the reasons I started using Vim for serious work was cross-platform support. It felt weird investing time learning editors that were only available for Windows or Mac OS. Recently some strong arguments in support of Neovim have made me use it more regularly in Unix, but I never even considered Windows and just assumed it would work there too.
Well, apparently it doesn't. Regulars at the neovim Google Group have been trying to get it running, but it still has some issues. Rui Abreu Ferreira has a branch called tb-win32-any which has fixes for Windows, and there are gists with build instructions in the main discussion.
It sounds like it only builds on MSVC 2013 update 2, but MSVC 2015 might be needed.
The Neovim team has been talking about building Neovim since issue #696 which was posted in May 2014. There's also a Building Neovim document which you can start with if you want to try it for yourself.
I really hope more Windows developers start helping out because I think solid Windows support is necessary for Neovim to become mainstream.