+1 on the AirSpy, but it does depend on what you want to listen to as well. Also, check out the thread "Is AirSpy.us still in business"? Perhaps some shipping issues as of late......
If it's a trunking system, before you do anything see how close you are to the control towers in your area -- they'll tell you the range on radioreference. If you are outside of that, then you'll need a better antenna so add it to the cost --or make one-- and you'll be doing an outdoor mount. Inside the range, just a dipole antenna inside your house works just fine (rabbit ears). I can do that on a 30 mile range tower, around 25 miles away, normal terrain no mountains and not in a cave or hole.
If it's conventional radio, then just the RTL-SDR ($30) will get you there too. What's the difference? Bandwidth you can scan at the same time. It's especially important with trunking. RTL-SDR does around 2Mhz. AirSpy does 8Mhz. Large systems can be 10Mhz wide or more to get all the channels. You may need more than one SDR for your area to follow the call threads.
Windows....well, sure. Try that first. That works with above software, but you get a lot more options if you install VirtualBox, the VirutalBox add-on package, and run a Linux virtual machine on top of windows (free), or dual boot your windows box into linux. Ubuntu is easy. Learning curve is worth it and it's a hobby right

. Some good active projects for trunking. Just install some dependent packages, compile, configure (there's instructions):
Records calls from a Trunked Radio System (P25 & SmartNet) - TrunkRecorder/trunk-recorder
github.com
Trunk Player - Python Django project to play back recorded radio transmissions used on site - ScanOC/trunk-player
github.com
Rdio Scanner is an open source software that ingest and distribute audio files generated by various software-defined radio recorders. Its interface tries to reproduce the user experience of a real ...
github.com
Fork of osmocom OP25 by boatbod. Contribute to boatbod/op25 development by creating an account on GitHub.
github.com
Just Air scanning? Want to listen to, and hop multiple frequency ranges (marine, aircraft, other....) farther apart than 2Mhz with one RTL-SDR?
GitHub - szpajder/RTLSDR-Airband: Multichannel AM/NFM demodulator --> works more like a conventional scanner. There are other ones too.