Guy wrote a script that is similar to fail2ban, but for Windows. Checks Event Log.
Blocks an IP after too many failed attempts.
http://serverfault.com/questions/43360/cygwin-sshd-autoblock-failed-logins/43900#43900
Similar in concept, monitors RDP connections somehow and makes IP firewall rules.
https://github.com/EvanAnderson/ts_block