Actually Win guys could install on their PC a virtual machine running Linux, and mine from there

From another hand, even for Linux there is no ready wallet. You have to compile it from scratch, and that procedure is very different from compiling a typical altcoin wallet. Not every Linux will do either - it will need your Linux installation to be the very latest/updated one, otherwise compilation will fail (if you use Ubuntu, use at least v.15.10, not to run into issues).