At work, I'm developing on Windows. At home, I love my MacVim and Janus, so I decided, "Why can't I have that love at work as well?"
To start, just download VIM from http://www.vim.org/download.php#pc and download GIT from http://code.google.com/p/msysgit/ and install. You will also need a ruby install with the rake gem installed.
Now, the first thing to note is that the directory names and a little different on Windows. Your .vimrc will be in $HOME\_vimrc and your .vim directory will be in $HOME\vimfiles.