Is it possible to have .htaccess on a Windows box for Directory Security. I have only used this in Unix, not Windows. If yes, where can I go to get information on what is needed to enable / use this.
htaccess is for Apache, and Apache can be installed on Windows, though I don't know anyone who would want to do that in a real-world public environment.
There is no htaccess for IIS, it is strictly Apache.
You can do a good portion of htaccess items through the MMC/Site Properties under IIS. For directory security, use your Explorer or File Manager to modify the permissions on the directories you want security to apply to.