Windows does have signals! It just splits them into a few facilities. POSIX "synchronous" signals correspond to SEH exceptions and can be handled roughly the same way --- except that signals have process global handlers and Windows has thread-local ones, because the glibc people are sticks in the mud and are hostile to any attempt to make signals suck less.
For asynchronous signals, like SIGINT, Windows create a new thread out of thin air to deliver your app a notification. That's not really all that much better than a signal from a concurrency perspective.
Windows even has APCs, which are like regular signals that are delivered only at explicit system call boundaries.
Every operating system needs some mechanism to tell a process to do something. Windows has evolved an approach that isn't all that different from Unix signal handling.