I haven't used git on Windows for some time now so maybe things have changed, but at that time, it was pretty obvious that Mercurial was a polished first-class citizen of the Windows platform while git was an incomplete port (and in git's defense, I don't believe "make it work on Windows" was ever a design consideration when it was written).
I presume things have changed since then but it wasn't always the case.
Git for windows basically brings half of MinGW with it including a shell and pisses up your windows cmd settings terribly. There is no platform abstraction layer in Git, so you're stuck with dragging GNU with you (it's not even POSIX compliant).
Mercurial is far more respectiful as it uses Python as the platform abstraction layer, uses windows semantics quite happily and considered Windows very early on.
Mercurial is just more polished on Windows.
Also the IDE integration and tooling on Windows is an order of magnitude better. It just works with no fannying around.
Add to that it's considerably less cryptic than Git and it's won.
I presume things have changed since then but it wasn't always the case.