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As of 03/07/2013:

1. Grab this file http://sourceforge.net/projects/opencvlibrary/files/opencv-win/2.4.6/OpenCV-2.4.6.0.exe/download
2. Set Environment Variables, on my PC my path to openCV is D:\Code\opencv

So, let's run something like this:

setx -m OPENCV_DIR D:\Code\opencv

Most importantly just briefly check http://docs.opencv.org/doc/tutorials/introduction/windows_install/windows_install.html

It may say stuff is out of date, just ignore the videos and scan the bullet points.