A couple of questions:
Are you running Nagios on either of the machines being checked or a third one?
Have you configured the NSClient on the Windows machine correctly to receive Nagios requests?
Are all the appropriate ports open on the Windows machine and the Linux machine?
Is the Windows firewall running on the Windows machine?
Is the firewall up on the Linux machine?
I notice from you screenshot that you are running Red Hat. Is the Linux machine your monitoring running Red Hat as well? In so Are you utilyzing SELinux? If not, what Linux distro are you running?
Have you NMAP'ped both hosts to check for port availability?
Let me know