I guess it would work. Haven't tried it myself but I researched your question and yes it is possible.
Is there a way to make it work with windows with the help of an extension or something ???
I don't use GoDaddy, but I host my site on Windows / Apache. No problems here!
Godaddy has Linux hosting services. I seriously doubt those use IIS
There have been users who run Zenphoto on IIS. However there are a few issues they seem to have. We are not in a position to help you resolving them should they impact your site.
I suggest you ask Godaddy to host your site with Linux.