you can absolutely migrate your data if your Windows instance is from 4.2 or later, just use the procedure here--use the first half of the *Nix procedure and the 2nd half of the Windows one:
http://docs.splunk.com/Documentation/Splunk/latest/Admin/Moveanindex
it might be easiest to hand-move all the config content in /local/ one file at a time to make sure you switch the direction of the slashes etc, but all the configs are the same (except for your inputs, of course).
... View more