Just to throw in my 2 cents from a perspective of having run mh for 3 years on a windows box (win95 and then win98 SE, but never win2k) and having attempted to move everything to linux for the last week........
I found that everything was very simple to set up and just worked under windows. Getting everything to work under Linux has been much more work than I thought. If I can get everything working correctly, I think it will be worth it but if what you want is to simply get things working, I find that it's much less painful under windows. But if your only choice is win2k and a 133mhz machine, as some have already mentioned, you might be a bit underpowered and it probably makes more sense to go for Linux immediately. I notice that you have 40MB of memory. MH ran find on win98 SE with 32MB on my machine but when I moved to Linux I had to get more memory (bumped it to 80MB) or Linux/KDE was swapping like mad. I suspect you'll need more with win2K as well. Hope this helps a bit.
 
Jeff H.