Hello. You can definitely develop custom modules in Windows. I am currently completing one right now for my job. I know it can be difficult learning how to complete one at first, but once you get the hang of it, then it isnt so bad. Take a look at this developer memento:

https://www.openerp.com/files/memento/OpenERP_Technical_Memento_latest.pdf

This information will cover the requirements you need to complete your custom module in OpenERP. Also, the Eclipse IDE is a good development tool to use when developing custom modules in OpenERP. Here is another link on how you can setup eclipse to develop OpenERP modules:

https://accounts.openerp.com/forum/Help-1/question/22239

yes of course you can develop your own module in windows OS but I personally feel its more convenient and reliable to develop module in ubuntu as compare to Windows OS. after installation of your openerp and postgres create user for openerp in postgres then add that user to config.py file of openerp. then u have to install eclips or aptana studio in u r system that will be helpful to you see the code of various files then import openerp addons to eclips/aptana. if u installing aptana then after importing your openerp addons in it. right click on addons add new pydev package and name it. then u will see your module in addons with init file. then add other required files (__openerp__.py,*.py, *.xml etc) then create new database in openerp and give access rights to user by settings->user>access rights. then click on update modules list and after that click on installed modules u will see installed modules in then remove filter installed in search tab situated at right upper corner (by clicking cross ) then u can see all the available modules in your addons. then search your module in it. then install it. here is how you can develop your custom module in openerp with windows OS.