Sean,
Hence the reason why I want the route to cease being advertised if the box "fails."
I'm trying to avoid putting yet another server load balancer box in front of the windows box to withdraw the route so a different "working" box will be closest. It may be an oxymoron, but I'm trying to make the windows service (if not a particular windows box) as "reliable" as possible without introducing more boxes than necessary.
You might be better not running the routing protocol on the Windows box, and run gated (or whatever) on some nearby Linux/BSD box which tests the availability of each of your windows box and introduces the appropriate route (i.e. a next-hop for the anycast address pointing at a normal IP address) into (a very local) BGP (running multipath) or other favorite routing protocol for each of the servers that are up. Alex