Many times in the past I’ve had want for the most excellent FUSE to have a Windows equivalent. There are many internet posts on the issue and why it is roughly a million times more complex to do on Windows than on *nix/BSD/OS X and hence why it hasn’t been done by the OSS community.
After my most recent need for a FUSE equivalent on Windows I came across this paper which was written in 2007 by Evan Driscoll, Jonathan Beavers and Hidetoshi Tokuda from the University of Wisconsin-Madison. Unfortunately they come to the same conclusion as everyone else and fall back to implementing a FUSE compatibility layer on top of FIFS which implements a SMB server to provide access to other filesystems.
UPDATE: as Frederico resports in the comments, Dokan is a capable Windows equivalent to FUSE.
Have you seen either WinFUSE (a .NET-based solution, FIFS way) or Dokan? The latter is somewhat different, in that it relies upon a kernel mode driver and already has a working SSHFS plugin available (I have been using it myself for about a month now). As a matter of reference, there is also a paper about a modified FIFS developed at the University of Bristol and working on recent NT boxes, but I haven’t been able to find any code.
Take a look at this porting attempt: http://fuse4win.4host.ru/