Did a bit of googling and found that WinPcap seems a cool choice for Windows. It can use the loopback device instead of a real NIC, too. It's just that I'm used to TAP.
I'm certainly not going to install another NIC. I got a laptop.
Here's my plan: Setup two virtual machines in VirtualBox, connected via private/virtual network. One has Windows, WinUAE and WinPcap, the other runs Linux. Installing emulated NICs is less problematic. Maybe that will result in a WinUAE network.