Since then I've made quite a bit of progress getting the server working too. And tonight things really started to come together...

That's the SQL Relay server running on Windows, connected to a database running on Linux, accessed by sqlrsh, also running on Windows.
And it can be accessed remotely too.

That's the same SQL Relay server running on Windows, accessed by sqlrsh running in a separate Linux VM.
There are a number of things that don't work yet like sqlr-stop and various plugins, and there are several things that just haven't been tested yet, but the big things are coming along nicely. I expect to be able to announce preliminary support for the SQL Relay server software on Windows in the next release.