Moving blog and maintaining current permalinks

Yes, you can definitely run it with the two URLs on the same box. The only reason I’ve ever seen against doing this is to avoid getting a duplicate content penalty from search engines.

I’ve never done this on a Windows box, only Linux; however, assuming you can get both URLs to get to the same installation, the rest is platform-agnostic.

Here’s how I do this on my sites (when I need to):

$url = ( false === strpos( $_SERVER['SERVER_NAME'], 'thinkfuture.com' ) ) ? 'http://freedombunker.com' : 'http://thinkfuture.com/cfs';
define('WP_SITEURL', $url);
define('WP_HOME', $url);

That will change all dynamic URLs depending on which url was used to get there. Anything that’s hardcoded (image sources, etc.) will stay the same, but they should all still work.