After writing yesterday's post on how to circumvent firewalls that block AIM, I received an email asking if I knew how to do the same thing with a Windows client. (Please review the other post to get an understanding of how this all works.)
Truthfully, I don't use Windows very often, but figured it shouldn't be too hard to set up a SSH tunnel. And granted, I haven't even actually tested this, as I don't have Administrator rights to the one Windows XP machine I have access to right now. That said, it's not rocket science. (Someone even wrote "who doesn't know how to set up AIM from behind a firewall? it's not all that freakin' hard actually... and you don't even need to bend over backwards the way you described.")
First, you need to download an SSH client for Windows. I, like everyone else, recommend PuTTY, a free Telnet/SSH client. Putty is usually the first thing I download on any Windows machine, and it has the advantage of not even needing to run an installer. You can download the latest version here.
After launching PuTTY, you will need to configure a SSH tunnel. You can do this by going to the Connection->SSH->Tunnel configuration screen. First, fill out the "Add new forwarded port section" to create a tunnel between port 1080 on your client machine and port 1080 on your server machine. Like this:

Then click on "Add" to add the tunnel to the configuration. When done, it should look like this:

Now, return to the "Session" screen, and type in your server's hostname (e.g., my.server.com):

(You may also want to set the "Auto-login username" under the Connection screen.). Next, save the session:

...and double click to launch the session. Enter your username and password when prompted. If successful, minimize the window and leave it running in the background.

To test whether or not the proxy connection has been made, open up a command prompt on your Windows machine -- Start Menu->Run and type "cmd" -- then type "telnet localhost 1080". If it works you should get a blank screen. If it fails, you should see "Connecting to localhost....Could not open connection to the host, on port 1080: Connect failed".
Finally, launch AIM and go to "Preferences->Sign On/Off" and click on the "Connection" button. Edit this to use a local SOCKS 5 proxy, like this:

Enter your account name and password as usual, and you should be able to connect over the the SSH/SOCKS proxy without any problems.
My apologies for not having a screenshot of this, but I wasn't able to install AIM to try it. However, I have verified that this works with the Windows version of Gaim. So while I haven't been able to test it out on the official version of AIM, Yahoo! IM, or MSN Messenger, there is no reason to suspect that it wouldn't work. Though I am curious to see if direct connections and audio and/or video work over a SOCKS proxy over SSH. When I can, I will test it out and let people know.