Windows does use a HOSTS file as well (located in %SYSTEM32%\drivers\etc\hosts), however, (since around Windows XP) Windows hardcodes certain IP addresses and hostnames related to updating and other Microsoft services into dnsapi.dll (located in %SYSTEM32%). This is checked before the hosts file is checked, so any entries in this DLL will override the corresponding hosts file entry if it exists.

The safest way to block suspect IP addresses and hostnames is to simply not trust the OS and use separate hardware to block the traffic.