*nix-like OSs are gaining much popularity even in .NET world since Microsoft decided to move on with their products into this direction (you can read more on Hanselman’s blog). Nevertheless it’s still more convenient to develop .NET apps on Windows (especially if it’s your target platform).
If you want to play with Jekyll on Windows I recommend you a great step-by-step manual written by Julian Thilo. It covers many pitfalls that are patiently waiting for any Windows user that never had anything to do with Ruby framework.
Unfortunately there is still one more pitfall for Visual Studio (2015) users who, like me, would like to edit their posts directly on their IDE of choice.