Yes, it can be done, but evidently there is a trick to it. Here is what one sysadmin had to go through to do it.

I  was recently approached by my superior with a crazy idea that one of our client had: Migrate their current linux with mysql wordpress blog to  a windows 2008 server with a remotely hosted database under MSSQL…But since there is almost no good information on the subject and since I have spent so much time on this I might as well share this with you. So here is how to install WordPress on Windows 2008 Server done 3 way: first on MYSQL using the web platform installer, 2nd on MSSQL Express and finally on a real corporate MSSQL server 2008

Read the tutorial here: http://sysadminsnightmares.wordpress.com/2012/12/28/solved-run-wordpress-on-windows-2008-with-mssql/