Elizabeth Smith has a new blog post today showing the steps you'll need to get code coverage testing up and running on your Windows extensions.
She spells out a seven step process that involves Microsoft Visual Studio (with Code Coverage support), a properly compiled PHP instance and a little familiarity with the Windows command line to get things working.
As you can see, this could be a nice automated task. Figuring out this path to madness took a lot of googling to find some information about running code coverage from the command line.
She also includes a tip on getting the .NET parts to play nice with Visual Studio.