No, because nobody would be allowed to take a Windows distribution, modify it, then resell it as their own commercial product. There are plenty of expensive solutions though that you can buy and install ontop of a Windows computer.
But you could build one yourself. The NT kernel has some routing capabilities built into it and there are plenty of firewalls and such that you can use. Also you have had "connection sharing" features since Windows 98 second edition and VPN features in the 2000 server editions.
I don't know much about the specifics, though. I did use some proxying software with Win98 original edition and used VNC for remote administration to share a dial up connection. But it sucked and thats when I learned linux enough to setup a simple nat router using Redhat. Of course the Windows NT family of OSes have 10X the networking capabilities as the Win9x family.
what your going to end up with is something that is going to much more expensive (cost of OS alone pushes it over the edge), be less reliable, have less security, and have lower performance.
In very specialized tasks like a secure firewall/router device is realy were Linux shines. Even lots of commercially bought routers (like some Linksys routers) use embedded versions of Linux + some propriatory software (from very cheap to very expensive. I think that my employer paids something like 2500 dollars for it's firewall technology, and that runs on Linux. Also even realy cheap linksys-type routers use Linux for their embedded OS a lot of times.) .
I mean to say that it's not impossible to do the same thing with Windows, far from it. I am sure that you can google for it and you can probably find some software firewall stuff that will add easy-to-use router technology to any Windows OS. I know for a fact that there are versions of semi-expensive (expensive for the average persons, but not for what they can do) solutions that work just fine on Windows OS's.
the *BSDs are in the same boat in terms of networking technology, so that if you don't like Linux you can try out OpenBSD, FreeBSD, or NetBSD. It's one of the strong points of unix-like operating systems.