I wanted to check out cocos2d for a long time (earlier I used Unity 3d - but it’s rather too heavy for 2d games…) Unfortunately, I didn’t have time. Yesterday after seeing this thread I downloaded it and can confirm that it works on Windows also. Anyway here is docs http://www.cocos2d-x.org/wiki/How_to_Start_A_New_Cocos2D-X_Game that also confirms it “Win32 Users”
I’m sure that You will find many tutorials, but even documentation is very good so you could use it as a tutorial 