Sockets Direct Protocol (SDP) is a byte stream protocol that utilizes the capabilities of the InfiniBand fabric to transparently achieve performance gains for existing socket-based networked applications. We implemented SDP stack for the Windows operating system that is fully interoperable with Linux. The paper describes the early experience with the implementation of the protocol stack. We go through the motivation, the main implementation architectural aspects and challenges. We present preliminary performance results. Running over 20Gb/s InfiniBand double data rate (DDR) links we observed bandwidth record of 1316MB/s.