You can cross-compile Unbound to produce .exe files.
Prerequisites (Fedora 11 package names):
mingw32-binutils, mingw32-cpp, mingw32-filesystem, mingw32-gcc, mingw32-openssl, mingw32-openssl-static, mingw32-runtime, zip, mingw32-termcap, mingw32-w32api, mingw32-zlib, mingw32-zlib-static, mingw32-nsis.
Dynamic Linking:
Use mingw32-configure and make. Install to a destination directory using make install DESTDIR=/path/to/dir to find DLLs and executables.
Static Linking:
Use the --enable-staticexe flag with mingw32-configure. Alternatively, use makedist.sh to create a setup.exe via NSIS.