I disagree, there is absolutely no easy way to do it on Windows. You can install a third party program that emulates the compose key but on macos it "just works". And I think that makes a difference for 95% of users
I've always (well...for 20 years) done a Google search for "em-dash" then copy/paste the character off whatever result page come up. Word and other fancy editors always provided a popup pane where these characters could be clicked to insert.
It's a bit funny. On macOS en and em dashes can be natively typed with alt+- and alt+shift+-. The responses to your comment are apparently suggesting these methods are just as easy as that:
1. Install and configure this extra tool, which also by default enables a ton of other things you may not want, and may as well be a third-party tool even though it's technically built by Microsoft
2. Do a Google search and copy-paste (!)
3. Use a keyboard shortcut to bring up a symbol picker, then click on the tab containing the en and em dashes, then click to type them in
