What programming language is better to use windows for such tasks?

If You are a Perv like me: javascript + electron framework.

If less perverted: C# is quite simple, to the point that can 50% of the project distribute of graphical forms.
Python, if you don't need intricate graphical interface.

What programming language is better to use under windows

Usually C#, in this case, too, and GUI, and parsing, and database, all of this in C# is most convenient.

what is a dB need?

There are different - Access, SQLite, SQL Server, MySQL, SQL Server Compact, and others absolutely to any database you can access from C#, depending on the destination to choose.

Visual studio + MS SQL Express. In my opinion the least hemorrhoid ligament. And don't forget MS SQL Management Studio

parsing files (such as log)

Processing of the logs and uploading them to a database can be relegated to any language that has access to the system API and will be able to use file mapping in conjunction with monitoring changes in the file for quick reading new real-time data, then parsing with regexps and insert in database.

I would choose nodejs, but through the use of file mapping highly doubt it...

saving to the database(some database need?)

Logs are very well suited to NoSQL graph database Neo4jor MongoDB, Cassandra, elasticsearch and others. You do not need to monitor the presence of columns in the table and update all record, I doubt if you're writing super complicated queries to the database, such as Neo4j solves this very quickly:
To select users who liked the actors who starred in the movie, which sounded saundtreki that were written by musicians that I like

Something like this:

MATCH (me:User {userId:123})-[:Like]->(musicants:User)-[:Author]->(s:Soundtrack)-[:Used]->(f:Film)<-[:Starred]-(actor: User)<-[:Like]-(u:User) RETURN u

(c)copied

creating windowed applications, a simple conclusion from DB

Whatever you want, though the same node.js on the basis of nw.js or electron.

I would use node.js possible, things can be even through a socket.no io requests to the database to get new records (inserted in dB) from the client.

PowerShell will rescue the father of Russian democracy... :)
To put data into the same MS-SQL!