The Combined Counties Premier Division side started on the front foot at Chesham FC as Dan Hicks headed a corner at Nathan Silver.
They didn’t have to wait long to take the lead as Silver brought down Kyle Lucas in the box.
The keeper was only shown a yellow card but could not keep out Robert Lazarczuk’s spot-kick.
Lazarczuk nearly turned provider minutes later as his throw was headed against the bar by Hicks.
But Town also hit the woodwork at the other end as Tayler Mitchinson’s effort struck the post and bounced into the arms of Carl Dennison.
Windsor, though, doubled their lead on the hour mark mark through Matthew Day and then sealed the win in the 76th minute when Hicks headed home a Lucas corner.
Town will be hoping to put the result behind them when they host Alresford Town in the semi-finals of the Aldershot Senior Cup tonight (Thursday, 7.45pm ko).
The Scours Lane club then return to Hellenic Premier Division action when they host Highmoor Ibis on Saturday before going to Wantage Town on Monday (both 3pm ko).
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