Windows didn't even get multiple desktops until Windows 10.
I believe that it has always supported multiple desktops since the introduction of the NT kernel. There just wasn't any UI provided in the OS for switching. I used a Microsoft PowerToy to switch between desktops, I think all the way back to NT 4.0.
I just checked in the 2003 Platform SDK and desktop support was added in Windows NT 3.51, which came out in 1995.
I think there was a PowerToy for virtual desktops for Windows 95? And alternate shells like litestep could do it too. Maybe that was Win98?