I'm a Haskell Windows user (and an Idris developer), and I have little trouble installing most things (except those directly targeted at Linux). That's not because I'm awesome, but because there's a trick to it. The trick is to install msys2 (https://msys2.github.io), and do the installs from there. Set up its libs and include as extra dirs in Cabal's config. When you need some lib or build tool look for it with pacman -Ss and install it. To start with installing make and autoconf helps you over the configure hurdle.

And if you hit Cabal hell now and then, that happens to everybody so it's probably not because you're on Windows, just make a sandbox and see if it works there.