JUCE is not an application but a toolkit, which is basically a collection of source code files. You use a C++ compiler to turn the source code into an executable. On windows you use vistual C++ express for example, which is a development environment including a compiler for intel / windows.
so yes, you can develop an audio plugin (VST) on windows using JUCE and visual c++ express for example. JUCE comes with a “wizard” to generate a basic plugin, this tool is called the projucer or introjucer. You first need to compile this tool from source code included in the JUCE source tree. There is already a visual studio project in the tree that you can load in visual studio or visual C++ express.
but besides all this, I already provided instructions in the forum on setting up a development environment as well as a link to the QVCA project / example VST plugin I created using JUCE, so you really don’t need to go through all this on windows unless you really want to.