there's a way to prevent automatic conversion from HEIC to JPEG in Windows Explorer by changing Transfer to Mac our PC setting on the iPhone: go to Settings -> Photos and select Keep originals
transfer HEIC photos as HEIC
Now, the question is, how to easily view these files on Windows that doesn't natively support the format yet. You could go ahead and find an online or an offline converter from .heic to .jpg (google search results are truly abundant). But this sort of defeats the purpose of transferring the original HEIC photos in the first place and eats up your disk space.
I think a much more elegant solution is to download a free plugin called CopyTrans HEIC for Windows and then browse your HEIC photos in Windows Explorer just as you do with any other type of images. It's as close to native support for Windows as it can get: once the plugin is installed, you can see all the thumbnails, open HEIC pics with Windows Photo Viewer, send them to print or insert them to a MS Office document.
More info here: https://www.copytrans.net/copytransheic/
Hope this helps!