This is known as an eXtended Architecture (XA) transaction, and yes, it is supported on Microsoft Windows via the MSDTC.exe application.
You can read all about it here: http://technet.microsoft.com/en-us/library/cc753563(v=ws.10).aspx another good article describing how to configure the DTC to support transaction with Oracle is here: http://msdn.microsoft.com/en-us/library/windows/desktop/aa344212(v=vs.85).aspx