Sonarr is supported natively on Windows. Sonarr can be installed on Windows as Windows Service or system tray application.
Windows versions are limited for support to those currently supported by Microsoft, others may work but this is an unsupported configuration
A Windows Service runs even when the user is not logged in, but special care must be taken since Windows Services cannot access network drives (X:\ mapped drives or \\server\share UNC paths) without special configuration steps.
Additionally the Windows Service runs under the 'Local Service' account, by default this account does not have permissions to access your user's home directory unless permissions have been assigned manually. This is particularly relevant when using download clients that are configured to download to your home directory.
It's therefore advisable to install Sonarr as a system tray application if the user can remain logged in. The option to do so is provided during the installer.
You may have to run once "As Administrator" after installing if you get an access error -- such as Access to the path C:\ProgramData\Sonarr\config.xml is denied -- or you use mapped network drives. This gives Sonarr the permissions it needs. You should not need to run As Administrator every time.
It is possible to install Sonarr manually using the x64 .zip download or x32 .zip download. However in that case you must manually deal with dependencies, installation and permissions.