Tarsnap runs without any problems under cygwin/windows right now. It is very easy to set up: the Tarsnap downloads page lists all the dependencies - you just need to make sure to include them in the Cygwin setup and then run his makefile. Frankly, his setup instructions are far more easier to follow than certain other gui-based installs that look shiny but induce far more stress trying to guess how to opt-out of the complementary crapware (e.g., Skype, Adobe Reader, utorrent...)

Also, as he notes in his install page, it _definitely_ is worth checking out the source code: one of the cleanest C source I've ever seen, and very educational.