Windsor, 78, described her discomfort at acting out Peggy's horrified reaction to believing she had AIDS, reported Digital Spy.
"They gave it to someone else and they refused to do it. They gave it to me," she said.
She also talked about the backlash she received following its airing, revealing she was even accosted in Blackpool.
Recalling her reasoning for coming back to the show for her exit storyline, Windsor said: "I heard along the grapevine that boss Dominic Treadwell-Collins might be leaving, and I thought we all want a good storyline."
On having both Phil and Grant Mitchell back by her side again, Windsor said she got a "funny feeling", and she also joked that Peggy could come back as a ghost.
Giving Peggy a hypothetical epitaph, Windsor said: "I would say she's a bird, a great, kind, strong bird.