Personally I would move to another provider if they chose to change my OS without my consent. Your php will work just fine provided they have PHP enabled in IIS and MySQL installed on the server you are moving to.
Why anybody would move clients off of a server OS (Linux) onto a GUI pseudo server OS (Windows) is beyond me.
No, as long as your windows web hosting support PHP or has Apache installed on their server, then you don't need to change your PHP code. Just find the right windows web hosting before you decide to migrate your system,
WAMP system should work as LAMP for the majority of stuff. Often it's not the OS, but the PHP build that's the issue. Ensure that it's VC9 as opposed to VC6. Also PHP on IIS could cause problems if you're using url rewriting.
I'm with rch here - can't see why anybody would want to run PHP on Windows out of choice.