You can install the nessus client on a m$ platform, but you can't run it just from there.

You have to connect to a nessus server/daemon which has to be run on a *nix server.
I've never came across a public nessus server... I just run my own.

If you have a linux box, run the nessus linux install and read the docs.

Then install the nessus client for m$ and connect to the server. (You have to start the service first)

I hope I didn't confuse you...