First, you need a text editor to create LaTeX documents. You can use any text editor you like! Some text editors are, however, preferred, because they have syntax highlighting, that is program show LaTeX commands differently than the rest of the text (e.g. different color). There are lots of free LaTeX shells for Windows, for example:
Second, you need a TeX distribution so that you can compile the nice source file you made. MiKTeX is a free LaTeX compiler for Windows and its installation is extremely simple. LaTeX compiler produces so called DVI file, which can be then inspected and printed by YAP DVI viewer, which is included in the package.
Recently, proTeXt has billed itself an easy-to-install TeX distribution for Windows, based on MiKTeX and including TeXnicCenter. You might consider starting here!
Happy TeXing.