Windows BGP Router

Yes, You can run BGP in Windows Server and even peer it with Cisco BGP router.

Use Cases:
https://docs.microsoft.com/en-us/windows-server/remote/remote-access/bgp/border-gateway-protocol-bgp

Powershell BGP commands Reference:
https://docs.microsoft.com/en-us/windows-server/remote/remote-access/bgp/bgp-windows-powershell-command-reference

More with Lab from Packet Thrower Blog:

Fun with Windows – BGP Routing

Basic Powershell commands to remember, Let’s Assume we had the following topology:

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To Adds a BGP router for the specified Tenant ID:
Add-BgpRouter -BgpIdentifier 192.168.100.1 -LocalASN 100

To Adds a new BGP peer:
Add-BgpPeer -Name CiscoR2 -LocalIPAddress 192.168.100.1 -PeerIPAddress 192.168.100.2 -LocalASN 100 -PeerASN 200 -PeeringMode Automatic

To Adds custom routes to the BGP routing table:
Add-BgpCustomRoute -Network 200.200.200.0/24

To Retrieves BGP peering-related message and route advertisement statistics:
Get-BgpStatistics

Remember, before typing above PS commands you should install “Remote Access Role” then “Routing Role Services“.

Then go to Routing and Remote Access Console
Right-click your domain name, then
choose “configure and enable routing and remote access”
click next
choose “Custom Configuration” then choose “LAN Routing“