proTeXt aims to be an easy-to-install TeX distribution for Windows, based on MiKTeX. After downloading, it guides the installation via a short pdf document (available in English, French, German, and Italian), which provides clickable links to install the various components, along with explanations.
You can download the self-extracting protext.exe file from CTAN; it is about 540MB. That link will automatically choose a nearby CTAN mirror. If problems with the download, please manually choose a mirror from the list.
If such a large download is problematic for you, proTeXt is also included in the TeX Collection, which you can get by becoming a TeX user group member. On the other hand, if you have plenty of bandwidth and need to burn your own CD, you can download proTeXt as an ISO image from Germany, the Czech Republic, or Utah, USA (md5).
Once you have the distribution, you can start the installation by running Setup.exe (if it does not open automatically). You can glance through the install document online, but be aware you must actually download the distribution and run the pdf from there for the installation to work. Following the links over the web does not work!
New users can find starting points for actually using TeX in this introduction to the TeX system.
First, proTeXt adds a few independent tools to MiKTeX: TeXnicCenter, Ghostscript, and GSview. If you want to see the exact contents, the .exe file is also a zip file; you can inspect it via unzip (on any platform).
To use ConTeXt within proTeXt or MiKTeX, you also need to install a Perl for Windows such as ActivePerl, and Ruby. (Later versions than the ones linked to here will most likely work too.) The contextgarden wiki has more information on MiKTeX and ConTeXt.
proTeXt's creator and principal maintainer is Thomas Feuerstack, while MiKTeX was created and continues to be maintained by Christian Schenk. Many thanks to both.