Yay, thanks guys, I got it to work on Windows.
One thing that may be obvious to others that wasn't to me, you need to run the script from within the XC5 installation directory. At first I was wondering, how does the macro know where XC5 is installed?
So for me, my path to php is C:\\xampp\php\php.exe
Path to next-sdk is C:\\xampp\htdocs\next-sdk\
Path to XC5 C:\\xampp\htdocs\xcart\
Running the script within the xcart directory the correct usage was:
..\..\php\php.exe ../next-sdk/devkit/macros/create-module.php --module=Tony\News --version=5.0
Note that using --module=Tony\\News caused an error. May be a quirk related to Windows only, I see that Tony was able to use the double slashes like --module=Tony\\News in his tutorial video.
Anyway, it works, and I learned something new, which is always great. Thanks again.