Sitecore is a .NET application and adding any new functionalities to it requires adding of .NET components to the Sitecore instance. So it is required to create a Visual studio solution and move the changes from visual studio to Sitecore instance as and when required.
Windows service is a process running in the background on a windows operating system. It can be configured to start automatically or by an event. They run in the context of their own dedicated user accounts and can operate even when the user is not logged on.