Installing LaTeX on W.indows!

First, you need software: (I recomended use my link all-in-one, see comments!)

MikTeX,    this contain packages and more stuffs.
Ghostview, this is an interpreter for the PostScript language and for PDF, and related software and          documentation.
GSview,     previewer for Windows.
Texmaker or TeXnicCenter,  these are features rich and easy-to-use integrated environment for creating LaTeX documents on the Windows platform.

A Hello world! in LaTeX

To start a new document, just put in a blank document the following sentences:

\documentclass{article}

\begin{document}

Hello world!

\end{document}

Save as: latex_example.tex. The extension *.tex is relative to LaTeX documents.

Preferable to save the document in a separate folder, it works better for you because probably you will have a lot archives very soon, like other files, pics(*.eps, *.jpeg, *.png), pdf's, etc.

To compile in linux put in a terminal:

pdflatex your_archive.tex

and the system create a pdf version of your latex file.