The install procedure is the same on all supported platforms. For Microsoft Windows, however, you will need an appropriate port of the linux tools (like MinGW or Cygwin). First, download the source code from Source Forge.

wget https://sourceforge.net/projects/ucx/files/ucx-latest.tar.gz
tar -xzf ucx-latest.tar.gz
cd ucx-latest

Then issue the configure and make commands.

./configure && make

To verify your installment you can issue make check. If everything is fine, you can install UCX with

make install

Note, that you might need administrative privileges for a system wide installation.