You can setup Hadoop in two ways on your windows machine.
- Download Virtualbox or VMware player, install Linux and install Hadoop. A very good tutorial is available here: http://www.michael-noll.com/tutorials/running-hadoop-on-ubuntu-linux-single-node-cluster/
- Virtualized apps: Download Virtualbox or VMware player, install Cloudera QuickStart VM or Hortonworks Sandbox or MapR Sandbox. This way minimizes the time spent on installing, and configuring Hadoop, then Pig, Hive, and so on. These contain a single-node Apache Hadoop cluster, Eclipse for Java, complete with example data, queries, scripts… You can download them from their websites.
https://www.youtube.com/watch?v=oNQ8f2My5Hs (for installing Cloudera QuickStart VM)
You get to learn a lot more when you set up everything on your machine. It helps a lot in understanding the concept of Namenode, Datanode and a lot of small small things.