As has been noted, #including windows.h slows down compile time. You can use precompiled headers or do a good job of isolating the windows calls only to modules that need them to help with that.
Also, you can add these preproc definitions before the windows.h include like so:
#define WIN32_LEAN_AND_MEAN
#define VC_EXTRALEAN
#include <windows.h>
It will reduce the number of definitions from windows.h and sub-included header files. You may find later on that you need to remove the lean-and-mean, but try it first and wait until the compiler complains about a missing def.
The namespace conflicts are a legitimate gripe, but technically have nothing to do with efficiency, unless you count efficiency of your personal use of time. Considering how many thousands of definitions will be thrown into your namespace, conflicts are bound to occur at some point, and that can be severely irritating. Just use the practice of isolating your Windows calls into modules, and you will be fine. For this, put #include windows.h in the .cpp file, and not the .h file.
I see no basis for thinking that the runtime performance of the executable will be impacted by including windows.h. You are only adding a large number of definitions to the context used by the compiler. You aren't even putting all the definitions into your compiled code--just allocations, function calls, and referencing based on any definitions used in your source code (.cpp).
Another argument could be made that the Windows API types and functions are inherently wasteful of resources or perform inefficiently. I.e. if you want to create a file, there is some monstrous structure to pass to the Windows API. Still, I think most of this is penny-wise/pound-foolish thinking. Evaluate Windows API performance problems case-by-case and make replacements for inefficient code where possible and valuable.