Usually, we do not make any changes to the core Elgg system. We enhance the functionality via plugins. No, you don't have to make the source available for providing commercial plugin development on Elgg.
I haven't been to Windows platform for a long time but last time I checked, WAMP worked fine for me ... you just need to enable the mod_rewrite plugin from the menu.
If you ned help intalling elgg on Linux, let me know.
PS. Are you...