Xenu’s Link Sleuth is a good tool to check the broken link your website and works well with Windows. You can Googling with the keyword: “Xenu’s Link Sleuth” and install it, here’s the interface:

We can start by click on File > Check URL (Ctrl +N). Enter the web address and click OK.
It’s started! make a cup of coffee and enjoy it until you see this message: “Link sleuth finished. Do you want a report?”

Select “Yes” if you want to see a report or just “No” to see the result.
We can do one more step to sort broken link only: View > Show broken link only (Ctrl+B).

There’s a list of broken links, you can check each link to see and find out the reason.