TeX Live 2005 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 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.
In this connection, we'd also like to mention proTeXt, another TeX distribution for Windows, based on MiKTeX. This can't share trees with TeX Live (this year), but it's up to date and nice in its own way. It, like TeX Live, is part of the TeX Collection.