I can't find a proper install guide for mswintex.zip under XP Professional (SP2) so here is a quick summary:

1) Unzip mswintex.zip into c:\tex (d:\tex etc. should be fine if you have another drive/partition).

2) Start a CMD shell and run the commands:
   C:\tex> c:\tex\setuptex.bat
   C:\tex> mktexlsr
   C:\tex> texexec --make --alone en metafun

(The last line sets up ConTeXt for English. Use nl for Dutch, de for German.)

3) Now the problems start.  The setuptex.bat file ought to go into autoexec.nt so that it is run on startup. Unfortunately texexec doesn't seem to want to run at all from a command.com shell (only a cmd.exe shell) but cmd.exe isn't interested in running autoexec.nt. So far I've just been starting a shell and running the c:\tex\setuptex.bat by hand each time.

Since setuptex.bat only sets environment variables (type 'set' to see which) you could enter them into the registry via START -> Settings -> Control Panel -> System -> Advanced -> Environment Variables and then they would be set permanently.

4) Create a sample file to test the installation. Copy the following to a file called demo.tex using Notepad. Put it into a working directory somewhere - I'm assuming c:\work. (Tip: In Notepad, when you save the file, enter the filename as "demo.tex" *including* the quotes and it won't add .txt to the filename.) Don't include the start and end lines.

------ start ------
% interface=en

\setuppapersize
  [S6][S6]

\setuplayout
  [width=middle,
   height=middle]

\setuphead
  [chapter]
  [header=high,
   style=\bfc,
   alternative=middle]

\starttext

\title{Peter D. Ward}
The Earth, as a habitat for animal life, is in old age and
has a fatal illness. Several, in fact. It would be happening
whether humans had ever evolved or not. But our presence is
like the effect of an old|-|age patient who smokes many packs
of cigarettes per day |.| and we humans are the cigarettes.

\stoptext
------ end ------

5) Start a cmd shell (or use the current one) and cd to c:\work. Run the texsetup.bat script as per step 2 if you're using a fresh shell. Now run the command:
  c:\work> texexec --batch --output=pdftex demo

This will create several working files (all called demo.something) plus a demo.pdf (assuming that all has gone well).

Hope this helps.
Bruce Horrocks, Jan 2005