Just learning about xml and the use of XSLT/XSL instead of css styling. Does prince support XSLT styling? Can't find any reference...

No, but you can apply XSLT transforms with an external processor such as xsltproc before passing the output to Prince.

Is there a way to do this on Windows?

You can run xsltproc or one of the other XSLT implementations like Saxon. If you are writing a Java or .Net program then it would be fairly easy to automate the process of performing the transformation and then calling Prince.