It's the same with a Windows host. The Windows server must have a program that accepts syslog messages.
The file locations of the logs on the Windows box depend on
which syslog daemon is in use
and on whether the administrator has configured a non-default location for the files.
A few common syslog daemons for Windows are:
Kiwi Syslog Daemon WinSyslog syslog-win32 NTsyslog LogLady
And more than a dozen others...