It's not Windows but MS-DOS, which allows for pure binary executables (COM format) that are nothing but instructions. Thus even a single-byte file is executable (C3, RET - i.e. exit immediately.)
AFAIK Linux has a higher minimum size, as the ELF header alone has to be at least 45 bytes:
Would it run 16 bit code under x64 Linux (w/o any translation / emulation)? As Windows can't do it (only x32 versions can), thus wondering, if this is a CPU limitation.