With the help of the srvany.exe from the Windows Ressource Kit Tools 2003 you can run any executable in Win2008 and Win2008 R2 either as a service.
You create yourself a service running solely srvany.exe
sc create GMOND binpath= c:\programme\ganglia\srvany.exe
Edit the service specs in the registry:
Add a subkey named Parameters
Inside "Parameters" create a String value named Application.
Edit Application and put the call to ganglia into the value data field.
E.g. c:\programme\ganglia\gmond.exe -c "c:\programme\ganglia\gmond-node.conf "
Start the service over mmc or by sc start GMOND and it should be running.
(There should also be a way to do this with the cygwin service creation tool cygrunsrv. Thanks to Nigel for pointing that out.)