Is there a desktop (Windows) application I can run SOQL queries with?

There is also a new IDE The Welkin Suite where you can run queries. Not sure about all what you've asked but there is line numbering :) They also have a forum where you can request a new feature here there is chance they implement it in future releases as they release pretty often with new features.

Other available options:

1 Real Force Explorer.

Real Force Explorer is now branded as Datasert Realforce

Pros:

• DML operations available within context menu
• syntax highlighting
• data export

Cons:

• lack of auto-completion
• annoying limits, even for paid versions (pricing page)

2 Illuminated Cloud

Pros:

• auto-completion
• line numbering
• very useful shortcuts
• syntax highlighting

Cons:

• No DML operations within context menu
• no data export

3 JetForcer

Pros and Cons are pretty similar to the Illuminated Cloud (this is also a plugin for IntelliJ IDEA)