I go to Canada at least once, sometimes twice, a year and usually I do the currency exchange at the border. As long as the rate is decent, I usually get a little more Canadian currency back for my US money. I don't think the fees are that high when you do it at the border crossing. Banks will definitely charge you more so never do a currency exchange in Canada at a bank. The rate is usually favorable towards using a credit card so if you have the option, I would try to use a credit card rather than using currency but I don't know how that would work in a casino. I don't gamble so I can't help you there. Definitely change at least some money over at the border though because it does make things a little easier while you're there and then you'll always know that you're getting the right change back too! : (BTW-I hope you have a passport because they're required now for going back and forth between Canada and the USA even when you're driving there.)
Have fun on your trip! I've been to Windsor before and it's a fun city.