Hi Roman,
Windows build support (which is still in setup.py) is not universal and you'd need to have all libs and headers installed from source in particular places, including many python packages (such as PyQt4). If you need to compile from the source, use Linux.
You might be able to use Windows Subsystem for Linux (WSL) introduced recently in Windows 10, it seems to be faily capable (i.e. you can use Ubuntu packages and install from repositories), but I only have second-hand knowledge; in particular handling the UI and OpenGL might be problematic, the rest looks straightforward. If you go that way, let me know about how it goes; it might become the official and supported way to use Woo under Windows, since native Windows build is too complicated due to fragmentation and lack of standards.
Cheers, Vaclav