Hi Luis,
How did you go with setting up Memcached on Windows? I was looking at this a couple of months ago and kept hitting issues and could only use memcache not memcached.
Out of interest are you running on Windows 2012 or something earlier? We recently went from 2008 to 2012 and are having a lot of performance issues (which is why I was looking at the caching solutions).
Cheers
Mark