I don't think it does. It relies on a Python module called "fcntl," which doesn't seem to be available for Windows. After searching for it, people have been saying in discussion threads that fcntl relies on some Linux things that would make it really hard to port over to Windows. I don't know anything about it besides that.
It's really unfortunately, since today I just tried out this extension on my computer at work (which is a Mac), and it's absolutely amazing. I really wish I could use it on my Windows computers, too.
It'd be nice if this was mentioned on the Wiki, or the extensions page on Mercurial's website. I don't see it mentioned anywhere.
Some time ago there was some effort to make crecord work under Windows -- I don't know if it was successful, since I don't use Windows, but you can take a look at the crecord fork here, and if it does work, feel free to contribute a patch incorporating any needed changes to the "main" crecord repo, as long as you're careful to avoid breaking things, including compatibility with other OSes.
Jérôme, if you can update your repository so that when a Windows user doesn't have the necessary dependencies, a warning message is printed along with information of what they need to do, I'd be happy to incorporate it.