Install the following programs (all freeware):

• MikTeX (the engine)
• TeXnicCenter (the GUI)
• Jabref (reference manager)

After installing TeXnicCenter, open TeXnicCenter and link it to the location where MikTeX is installed. For WindowsXP this is likely C:\Program Files\MiKTeX 2.x\miktex\bin\latex.exe.

Then go to ‘MikTeX options’ (through the start menu in Windows)  and click ‘Update formats’ on the General tab and set the ‘install packages on the fly’ on ‘yes’ or ‘ask first’.

Now, you are ready to start with LaTeX. A very good manual to learn the basics of LaTex can be found here.