Hi @mrshenli you are right indeed. I updated to PyTorch 1.8.1 and used the gloo backend and file init_method() and it works.
For anyone wondering, following is a sample code that works on Windows. However, I do not suggest distributed processing on windows.
import torch.distributed as dist

dist.init_process_group(
   backend = 'gloo',
   rank=0,
   init_method='file:///e:/tmp/some_file',
   world_size=1)

print("Done")