I can't find a guide to install on Windows.
https://github.com/hanslub42/rlwrap.
If installation on Windows is not possible, are there analogues for Windows?
The rlwrap README mentions:
As it is often used with older or even obsolete software, rlwrap strives to compile and run on a fairly wide range of not necessarily recent Unix-like systems (FreeBSD, OSX, HP-UX, AIX, Solaris, QNX, cygwin, linux and probably quite a few more)
Windows in itself is not sufficiently Unix-like to be on that list, but cygwin (GPL), and, more recently WSL (free as in beer), provide a compatibility layer that allows you to install rlwrap (there are pre-packaged versions if you don't want to build from source) on a Windows machine.
That said, unlike the ususal Linux terminal emulators, the Windows console appears to have a history and line-editing mechanism built in that makes rlwrap a bit less necessary under Windows than on a Unix-like machine.
Keep in mind that rlwrap cannot wrap just any windows console app, but in general only unix-like programs, so you'll need cygwin or WSL anyway to have any use for it.