In looking for a notification solution for windows, I found that a Growl clone is out for Windows: http://www.growlforwindows.com
It's list of supported apps is small, but currently growing. I did see this:
If your favorite application doesn't support Growl yet but does offer an API, you can use the growlnotify command line script or one of the available GNTP libraries to send notifications.
I did once fully integrate Snarl - a growl clone - into SABnzbd, however it was decided no one would use it so it was never added to SABnzbd core. This sort of thing would probably be best suited as a plugin once/if a plugin system does get developed.
You can get simple download done notifications by just using a userscript however, like this python example for growl http://pastebin.com/m525bdb8b
Now that growl for windows works with snarl notifications to push you notifications on the iPhone via Snarl, I really thing someone should make a script for sabnzbd for growl