The preferred way of installing KDE apps under Windows is the KDE-Installer.
When you run KDE-installer for the first time, you'll see the welcome screen. Since it's your first launch leave the checkbox below unchecked. Proceed to the next screen, where you choose the KDE4 installation directory. It can be anything you prefer, e.g. C:\KDE4.
On the next screen, define who you are: End User or Developer. The End User installation installs only binary packages and libraries needed to run KDE application. Developer mode provides you with the source code for all packages needed to build KDE from scratch.
Proceed to the next screen and there choose the directory where all the downloaded packages will be stored. Let it be something like C:\KDE4-tmp or C:\KDE4-packages.
The next screen will ask you to choose your internet connection type, particularly whether or not you're using a proxy. If you don't use a proxy server, just click 'Next'. If you are unsure of whether you're using proxy or if you have web browser configured to work with it properly, choose the second or the third option, according to your favourite web-browser. If you'd like to set all the settings manually - choose the last option and go ahead.
When you click the 'Next' button the (currently, rather short) list of available servers will be loaded and you could choose the one closest to you.
When you click 'Next' again, the list of all available packages will be loaded and processed, providing you with the list of package groups you can select for further installation. The short description next to each group of packages should make your choice easier. Select the packages you need. Proceed to the next screen.
Here you can see all the required dependencies, or software necessary to support the choices you've made. Click 'Next' to download them all.
After all the packages are downloaded they'll be unpacked and processed by the installer. The final window will tell that your KDE installation for Windows is complete.
When the installation completes, you can find KDE applications at Programs -> KDE 4.2.00 Release in the Windows Start Menu. You can also use the installer to remove KDE on Windows. Since all the files are in the same directory, the removal is trouble-free.
If something goes wrong during installation, for example a file can't be replaced because it is still in use, the installer may still report successful completion. If you see any alert or failure message from the installer, when it completes, quit and re-run it.