As Jeff suggests, for production sites use Linux if you can. Having said that I have been experimenting and developing on Windows with Apache/Mysql since around 2003 and have yet to discover something that does not actually work. But I have managed to create bugs that make code break when used with MS SQL server several times. That is not because it is a bad database system, just that it is moderately easy to introduce bugs if you don't fully test with it.
General help
Linux vs. Windows install
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