McCLIM's native Windows backend is in a very early stage of development, if not abandoned. You can use McCLIM on Windows with an X server, e.g. VcXsrv or Xming.
Since none of the McCLIM contributors use Windows, there have been very little work on a Windows backend.
One idea has been to use a common low level interface such as SDL to implement a backend, which would then be very easy to get to work on Windows. Like you said, some Windows developers would have to provide input as to which one would be the most appropriate.