I previously thought that was the issue with IPython, but today I tested again, here is what I did:
emacs -Q in cmd window
I think it would take sometime until the problem is fixed. Until some Windows user actually debugs python.el.
Until then, why not try Emacs IPython Notebook? It is a better IPython binding for Emacs. You don't need to use the notebook part. You can think it as a replacement for python shell in python.el. (disclaimer: I am the author)