Ok, the problem is that program you found doesn't directly output to a wav file. What you have to do is pipe the output into yet another program. The source code gives an example
/*
* to get a wav do something like:
* ./nelly2pcm test.flv | sox -t raw -c 1 -2 -r
-s - test.wav
*/
So basically you are stuck installing cygwin and then SoX
Download HTK 3.2.1 & SoX - voxforge.org
has some steps for the sox installation.