Million Dollar Saloon is the better strip club up there. As for bars, there are plenty of them. Voodoo, Peppers, etc. They are all concentrated on one street from basically the tunnels to the waterfront. So you have a nice choice.
The casino is fun, but if it's busy, you will be waiting to play most card games, especially Hold 'em.
Windsor is a fun town, but be careful. It can become a real sausagefest on busy weekends.