Well, before having fun with nagios, you should try to do it step by step
Step 1 would be to make it work by running it on command line:
on your nagios server, do a "check_nrpe -H name_of_your_server"
for this to work, you have to:
-have a compiled "check_nrpe" on your nagios server
-have a NSC++ working on your windows server
-have no routing problems, or firewalls
-have no problems with SSL (if your network is secure, compile your plug ins without SSL (option --disable-ssl))
-have properlly configured your config file on the client
Step 2 would be to do a real test, like "check_nrpe -H name_of_your_server -c my_check_example -a arguments"
and Step 3, when you'll have this working, then put it on nagios