Giving an update to illuhad's answer: hipSYCL does now indeed have experimental support for Windows. This currently supports the CPU and CUDA backends, whereas the newly added Level Zero backend was also tested successfully recently.
The HIP backend for AMD GPUs cannot be supported on Windows as AMD's ROCm platform is not supported on Windows.
As the CUDA backend relies on LLVM's CUDA support, the maturity is to be expected equal to that of CUDA with LLVM on Windows: experimental. From the hipSYCL side, Windows CPU and CUDA builds are regularly tested in the CI, with only the CPU tests being run there.
To use and install hipSYCL on Windows you can refer to the wiki.