No Windows support yet: https://github.com/returntocorp/semgrep/issues/1330
Kind of crazy that you can make a tool like this in the modern age that isn't cross platform. Maybe they just can't face the Python packaging nightmare on Windows. Also kind of surprising it's written in Python given that they advertise its speed.
On the speed front, the core of Semgrep is OCaml, with a Python wrapper to add niceties like pattern composition. I’m less close to that part of the codebase, but think more and more logic is being moved to OCaml for performance reasons.