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Here's a patch that builds _testembed on Windows and adjusts test_capi to not skip EmbeddingTests on Windows. The .vcxproj is based on _freeze_importlib, with "when to build" settings lifted from _testimportmultiple.
The patch also adjusts test_capi.EmbeddingTests.test_forced_io_encoding such that it doesn't blow up completely on Windows (and should still pass anywhere it does currently, though I haven't been able to test anywhere but on Windows yet). The test still fails, though; here's the relevant output I get:
"""
======================================================================
FAIL: test_forced_io_encoding (test.test_capi.EmbeddingTests)
----------------------------------------------------------------------
Traceback (most recent call last):
 File "P:\Projects\OSS\Python\_cpython\lib\test\test_capi.py", line 298, in test_forced_io_encoding
 self.assertEqual(out.strip(), expected_output)
AssertionError: '--- [106 chars]t: cp1252:strict\r\nstderr: cp1252:backslashre[575 chars]lace' != '--- [106 chars]t: cp437:strict\r\nstderr:
 cp437:backslashrepl[571 chars]lace'
 --- Use defaults ---
 Expected encoding: default
 Expected errors: default
 stdin: cp437:strict
- stdout: cp1252:strict
? ^^^^
+ stdout: cp437:strict
? ^^^
- stderr: cp1252:backslashreplace
? ^^^^
+ stderr: cp437:backslashreplace
? ^^^
 --- Set errors only ---
 Expected encoding: default
 Expected errors: surrogateescape
 stdin: cp437:surrogateescape
- stdout: cp1252:surrogateescape
? ^^^^
+ stdout: cp437:surrogateescape
? ^^^
- stderr: cp1252:backslashreplace
? ^^^^
+ stderr: cp437:backslashreplace
? ^^^
 --- Set encoding only ---
 Expected encoding: latin-1
 Expected errors: default
 stdin: latin-1:strict
 stdout: latin-1:strict
 stderr: latin-1:backslashreplace
 --- Set encoding and errors ---
 Expected encoding: latin-1
 Expected errors: surrogateescape
 stdin: latin-1:surrogateescape
 stdout: latin-1:surrogateescape
 stderr: latin-1:backslashreplace
----------------------------------------------------------------------
"""
I'm not sure whether this is a bug in the way _testembed is built or otherwise. EmbeddingTests.test_subinterps passes, though.
Due to my ongoing inability to get a 64-bit build to work, this has only been tested on 32-bit Windows 7.