for a PING only you don't need to install any Compontents on the Windows Server...
In the define_host Directive you must use a Template. And the Standard Templates already includes a check_alive Command, the complete name is: check-host-alive
The command for this action is the following:
command_line $USER1$/check_ping -H $HOSTADDRESS$ -w 3000.0,80% -c 5000.0,100% -p 5
You can find theese in the Nagios Templates...
But now to your question... Please read the manual. You must define a host.
You can create a new File for this or modify an existing Template File.