Cygwin can be a one way to do it.. but I doubt you'll be able to compile packages that contain binaries...

Linux, OTOH, is free as you know, you can get your hands on a version just as easily as you can get Cygwin. I advise you to do so, install it on your computer (you can have a dual boot with windows) and you can easily copy the structure of your directories on the server. Now all you need to do is compile, test, and upload.

Just beware that some packages require some more binaries to be present; like GD and Image::Magick...

I hope this helps just a little bit.