In the world of Windows you can execute shellcode using the VirtualAlloc and VirtualProtect Windows APIs. There are also few more APIs we can use to do the same task but different techniques involved.
This is how MSDN explains this:
Changes the protection on a region of committed pages in the virtual address space of the calling process.
BOOL WINAPI VirtualProtect( _In_ LPVOID lpAddress, _In_ SIZE_T dwSize, _In_ DWORD flNewProtect, _Out_ PDWORD lpflOldProtect );
Basically we can make our shellcode memory region executable and invoke it using this API. We use the PAGE_EXECUTE_READWRITE as the memory protection constant for the flNewProtect parameter to make our page RWX.
Here’s an example using C which I have implemented.