Normally there is no problem to open any INDD opening on Windows, when created on the Mac.
But Mac user are often not aware on the naming limitations. A file name must not contain /, \, |, :
It should not contain any extended character, it is not a primary problem but will be, if something links to that file, so avoid also: ÄÖÜäöüß+&
You can use all other non A-Z a-z, 0-9 and - and _
I personally would also recommend to avoid spaces.
This is valid for the INDD file itself but also for all linked content.
We most often see this error when someone has change the file extension on a different type of file in the mistaken belief it will make it a .indd.
It's also possible you really don't have permission to open it if it was locked on the Mac.
It would also be good to know how that file was moved to the Windows user.