You need to write some SERVER SIDE software on the Windows Box. It could be an ASP.NET page, a TCP/IP daemon, a PHP script, whatever you feel comfortable with writing on the server side. On that piece of software, do whatever you want: I.E. Show A Message Box.
On the iPhone, you will create a CLIENT to connect remotely to your SERVER SIDE software running on Windows, and trigger the desired action.
iPhone -> INTERNET -> Windows Box -> Your Script -> ACTION you want.
If you don't want to use ASP.NET, or PHP or any other Web Server program, then, as I mentioned, you can write a little TCP/IP or UDP/IP server daemon (using C#, C/C++, Python, Ruby, whatever you want) implementing your own simple protocol to trigger actions on the Windows machine. If the Windows machine does not have a FULL PUBLIC IP address, you need to have some sort of proxy, so the solution will be something like:
iPhone -> INTERNET -> PROXY.
Then your Windows program should query your proxy for new notifications:
Windows Box -> INTERNET -> PROXY -> ACTION you want
It's a little bit more complicated but you don't have a choice if you want the program to run on ANY Windows Box not having a public IP address.