On Windows, I'm biased for UnrealIRCd, on linux its charybdis.
In Windows, you can download an ircd, install, read the docs/config, alter the config to your liking, start it.
In Linux, just download the source code, compile, read the example config, modify the config to your needs, start the ircd.
Note, your linux distro might have a ircd package, but they might be really outdated.
Windows: UnrealIRCd / InspIRCd / maybe others?
Linix: UnrealIRCd / InspIRCd / charybdis / ngIRCd / bahamut / etc...
