TeX Live contains a Windows installer, with many thanks to Pawel Jackowski, Tomasz Luczak and Staszek Wawrykiewicz. The GUI installer by Tomasz is based on TCL and the tlpm command-line installer by Pawel. Usage is described in the TeX Live documentation.
Please report problems with the tlpmgui program to tlpmgui@gust.org.pl. Problems with the underlying command-line tlpm for Windows (or the Unix installer) should go to tex-live@tug.org.
If you download the ISO file and wish to use it on Windows, try the Daemon Tools.
If you have insoluble problems with TeX Live under Windows, you may wish to consider proTeXt, an alternative TeX distribution for Windows, based on MiKTeX. This can't currently share trees with TeX Live, but it's up to date and nice in its own way. It, like TeX Live, is part of the TeX Collection. (Conversely, if you have problems with MiKTeX or proTeXt, you might like to try TeX Live. :)