your problem is not the OS but the environment settings.
Normally u export the db on UNIX and FTP it to Windows (be sure use the binary option !) and then import it in the new db.
The message about the characterset says something like export done in ... server uses ....
U can avoid that mesage by setting the nls_lang to the same as the characterset which was used for soing the export by typing :
in the same session/dos box in which u do the import.
But normally the import end succesfully without any warnings. it's just to warn u that character conversions might be possible because there's a difference between the set used to export and the set to import. It all depends on the two charactersets if any conversion are made or likely to be made. For example, if u go from american_america.WE8ISO8859P1 to american_america.WE8ISO8859P15 it is not likely that conversion are to be made. But going to USASCII7 changes will be made.
Hope this helps.
Edwin van Hattem
OCP DBA / System analyst