As you can see, the link to that on the hudson website is dead.
So, I was hoping for a little step by step for setting up a windows slave with a linux master.
First you need to create a new node. You can do this from http://hudson:8080/computer/, click "New Node" on the left.
The easiest way to start a node is to, from the slave, click on the newly created node on that page and launch the Java client from there.