Windows does not use X11 for its graphical interface, so it's natural that X11 forwarding would not work.
(However, you can use this for X11-based programs that were ported from Linux and are running through Cygwin, or Interix, or through Windows Subsystem for Linux. Basically, if a program would need Xwin/Xming, then it would work with X11 forwarding too.)
There is no option for running native Windows graphical programs directly through SSH – instead you need to connect using either "Remote Desktop" (mstsc) or various third-party programs like VNC.
(In general, noticeable difference is that Remote Desktop attaches to a specific user's desktop in exclusive mode, while third-party programs instead attach to the whole screen in shared/mirrored mode.)
Remote Desktop can also be configured for RemoteApp, which allows connecting to individual apps (multi-window) instead of the whole desktop. It doesn't require Windows Server, but it does require each app to be pre-configured for this.
Unfortunately I haven't heard of any Windows programs which would intercept individual windows and "forward" them through X11, but it would certainly be cool.