This is a follow up to our thread on #272 regarding using AppVeyor for Windows CI. I'm posting this as an issue just so I can mark it as high priority (since I think it's a worthy goal).

This issue could take a long time to resolve, since I think it has 3 parts:

1. Set up AppVeyor (or some other Windows CI) for the project, similar to our travis setup
2. Adjust our unit tests to be compatible with Windows (I'm not sure if any of them are not compatible, but just in case they are, this should resolve that).
3. Fix any bugs specific to Windows that we notice from the CI.

I think we can consider merging in AppVeyor CI once 1 and 2 are complete, and then we can use the CI to help us find the bugs for part 3 and quickly resolve those (and mark them as high priority).