You generally cannot load whatever you want into the kernel as admin on Windows.
You have to either disable secure boot to enable changing it via command prompt, or you have to boot into a special recovery mode first that verifies you have physical access to turn it off.
Linux with secure boot is similar. Root cannot patch the kernel (without a bug). The kernel lockdown feature is activated, which enforces code signing. You have to use your physical access to change the UEFI setting to disable secure boot first or use a MOK to enable signing your own modules in such a way the secure boot chain accepts them.