I've been working like this for years: the developers use Windows XP machines, and the application is deployed on Linux or Solaris servers.
Java was designed to be platform-independent. A Java program runs on any operating system without modifications, as long as there's a JVM available on the operating system.
It is possible to do platform-specific things in Java, such as using Windows-style paths to files as Ernest mentions. If you do that in your program, it obviously doesn't work on non-Windows environments.