I don't really want KDE on my Windows OS, all I want is Dolphin. KDE is slow on Windows so I would like to get just Dolphin by itself. Is this possible? If this doesn't exist, can it be made?

If you use the KDE on Windows installer, and just select Dolphin then only the components needed to run Dolphin itself should be downloaded. Unfortunately, what is needed will depend on how the packages as a whole have been created I am afraid.

It definitely is possible to only have dolphin (select the kde-baseapps package), but if you only select that one package, the installation size for that one application might be a bit bigger (~400MB). The plasma shell will not be started automatically, you will be safe .
Because of the size issue, I recommend that you check whether you might want to have some other applications as well, the change in overall installation size is minimal then.