You will have to add C:\chicken and C:\chicken\bin to your windows path. You probably have to install Mingw before this will work. I haven't tested it without it. There may be other dependencies that I missed. Keep your expectations low at this point.
My goal is to eventually have a chicken installer for windows that includes a good range of eggs so that people can give chicken a go without having to wade though the install process. I guess this could be seen as either a good thing or a bad thing depending on your point of view.
If it is useful to anyone please let me know. If there is a good home for the binary on call-cc.org or the wiki let me know or feel free to move it there.
Note: producing this in no way means I'm a fan of the Microsoft windows platform! :-) I merely want to write a tool that must run on Windows, my n900 and Ubuntu.