After many long years, Gazebo has finally been ported to Windows. Communication between Windows, Linux, and Mac is also supported. The video below demonstrates Gazebo running in Windows on a virtual machine. An instance of gzclient running on the Linux host machine then connects to the Window's server. Objects can be inserted, moved, and deleted on either machine.

You can grab support for Windows on the master branch of Gazebo. Make sure to follow these install instructions. Or you can wait for the release of Gazebo6 on July 27th, 2015.