Can Haxe compile a windows app on it's own. Or would I need something like Nw.js too with it?

Strange. Can you try haxelib run lime setup windows. Maybe your path to lime isn’t correct. But it seems that the haxelib one is working.

Did you install visual studio community ?

EDIT: keep an eye on this thread : Upgraded to Haxe 4.0.5 but OpenFl isn't coming along