There are no retail shopping stores to speak of in Frenchtown - the Yacht Haven marina on the other side of the harbor does have quite a few stores - not sure how late they might stay open - it is a good 30 min +or- walk from Windward.
The wide variety of restaurants in Frenchtown offer a great choice of dining options <img src="http://www.traveltalkonline.com/forums/images/graemlins/dine.gif" alt="" /> - Yacht Haven not so much.