The Sony 960 Pro is a great M.2 storage. Windows does support it and i personally use it as well. Make sure when you boot up your computer that you open BIOS and make sure the SSD is the defualt.
In most motherboard BIOS software, it will automatically select the HD as they are usually the largest and can store more, but SSD are evolving to have just as much storage, so you will have to manually update your BIOS.
If you dont know how to open BIOS, Follow these steps:
When you click the power button, tap the delete button at casual pace and it should open up.
Select your drive and check your systems are working, and your good to go.