Is it specific to the Banshee project or to the Mono platform as a whole?
It's not terribly current but this blog post mentions troubles with GStreamer as one major problem with getting Banshee to run on Windows. Other than that it seems that Banshee already compiles and runs on Windows for quite some time, but there just wasn't an official release (probably due to a lack of polish/bugfixes/release infrastructure).
Not sure where you are getting your information from.
Banshee is a C# 3.0 app and according to this page, "XP, Vista, Server 2003, etc should all work.".
I'm having severe problems compiling Banshee on Windows. There are tons of assembly issues and when I manage to solve one by copying files over and changing settings in the MonoDevelop project, new ones appear. Shouldn't all the settings be correct in the source? Does anybody have working Windows binaries?