Interesting, never knew this... But can one windows machine run multiple Slush proxies? I never had success opening two, only tried one time thinking it might distribute work evenly. I checked the thread you linked and saw what looked like scary Linux stuff, is that the only way?
No, that link is for how to set up pool server software. Yes, you can definitely set up multiple proxies on a windows machine. Just open up another command window and make sure to assign a different getwork port to each proxy.