XML Copy Editor reads windows style files fine, but when you save changes it replaces the windows line feeds with Linux style ones.
The difference apparently is that in Windows text files, newlines are signalled by a carriage return followed by a newline, '\r\n' in ASCII. Whereas on a UNIX system a newline is simply a newline, '\n' in ASCII.
I'm using XML Copy Editor to edit XML files stored on a Windows system at the moment (yes, it's that much better than anything I've found on Windows, including Microsoft's Visual Studio), so this would be a really handy feature to have.