Two things were actually missing:
- libxml2 dependency
- proper setting of nov-unzip-program
I could add libxml2 the easy way by going to Emacs FTP, download the dependencies, and apply them in my Emacs installation directory.
For the set of nov-unzip-program I had to download Unzip for Windows, and set the path in init.el:
(setq nov-unzip-program "C:\\My\\...