You can use [npiperelay][] to let coc-discord-rpc connect to a Discord instance running on the host Windows operating system. It requires modifying the extension a bit, but it's relatively painless. This guide assumes you have [coc.nvim][] and [coc-discord-rpc][] already installed.
To build npiperelay, you'll need [Go][]. Grab the golang package from your favorite package manager and follow the instructions on the
[npiperelay][] repo. You'll also need to install socat if it doesn't come with your distribution.