This is really quick tip.
First of all, you need CPU that supports virtualization.
Then if you have Windows 10 Pro (which support Hyper-V) install Docker (https://docs.docker.com/engine/getstarted/step_one/#docker-for-windows).
If you have Windows home or others install Docker Toolbox (https://www.docker.com/products/docker-toolbox )
Type and enter
docker run -ti --name cli_wallet steemit/steem /usr/local/steemd-default/bin/cli_wallet -swss://steemd.steemit.com
You now have cli_wallet on Windows! :)
Add: Special thanks to @gtg for helping with commands.