I only had that experience with projects that use autoconf for build configuration, usually these are tied very closely to UNIX-like platforms. Most libs that use cmake to setup the build files can be integrated well on Windows (most likely because the author choose cmake exactly for this reason to be easily usable across platforms). But that's more of a problem of Linux isolationism than Windows' fault (basically the modern version of the bad old days when everyone was on Windows and all you got to build a project from source was a bunch of Visual Studio project files).