Installing command line tools such a Git on Windows is often difficult. Not only do you have to find a Windows port or attempt to compile the tool yourself from C source code, you also have to deal with the Windows command line. The Windows command line is, to say the least, a little lacking. Windows users are in luck here though, the MSysGit project solves both these problems.
MSysGit is a Windows port of Git packaged with a Bash command line and terminal window. In one simple installer, you get Git, Bash and a decent command line on Windows. It's even useful to install this package even if you don't immediately need Git, just so you can use Bash on Windows without having to go through a larger install like Cygwin.