In TeX Live 2008, the same installer is used for Windows as for other platforms. It does do some special things on Windows, though:
Multiple TeX distributions: only one TeX distribution can be active at a time, because all the TeX distributions use the search path to find their programs. This means that to switch from one TeX to another, e.g., between TeX Live and MiKTeX if you have both installed, you must (at least) change the search path.
DVI viewing: there is no direct DVI viewer for Windows included in TeX Live. (No volunteer has come forward to make this happen.) Aside from converting to PostScript and PDF, what we can offer now is the dviout program, which needs to be manually installed and configured; see the support/dviout/ directory for the program and documentation.
Finally, under Windows 2000, the installer may fail to open in GUI mode (we have been unable to find the cause, please report any clues and especially patches). If this happens to you, you can try to install in text mode, e.g., d:\install-tl -no-gui.
TeX Live 2007 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 firstname.lastname@example.org. Problems with the underlying command-line tlpm for Windows (or the Unix installer) should go to email@example.com.
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. :)