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The mfront binary is not embedded in the Windows build of code_aster, mainly because this would require shipping a full C++ compiler/toolchain.
However, the Windows build of code_aster is compiled with MGIS support. Therefore, if you install MFront in an MSYS2 environment and build the behaviour library using the mfront CLI, you should, in theory, be able to load and use it from code_aster on Windows.