it doesn't matter whether anope finds the databases or not...
during initialisation anope checks the windowsversion and if it s not supported, it terminates.
I used to run my services on a 98 SE computer, until I started getting error where the databases wouldn't save, and it couldn't back up.
older versions of anope did not do this, this is something that was added recently, in 1.7.14 i believe. you could try using an older version of anope but that s certainly not recommended at all because those contains bugs, and in some cases even crash bugs.
as for installing linux, i don't see why it would not be recommended. linux is the way to go for most server systems and certainly for shell/irc servers. i myself run linux on one of my PCs and do not regret dumping windows... the only thing i still need windows for is Vistual Studio and games and such
an alternative is indeed trying out linux through VMP, there are like chaz pointed out images with preinstalled vesions of linux available on the net.
[Edited on 7-6-2006 by Viper]