Yes, this is possible, just follow the instructions for installing the Data Link server on a Windows machine described here
Please have in mind that in the firewall of this machine you will have to enable inbound connections on the port used by the Data Link server (9090 by default).
Also, you may need to consult your system administrator and configure a public endpoint (publicly visible IP address + port), which forwards the requests to port 9090 on the Windows Server machine.
This public address is the Data Link Server URL
that you will need to provide in order to setup a data connector in our web portal.
Hope that helps. Do let us know if you have questions or need further assistance.