In TeX Live 2008, the same installer is used for Windows as for other platforms. See the general documentation. Before running the installer on Windows, be sure to remove any previous TeX binary directory from your PATH, or you may have VM usage problems (we hope to fix this in a future update).
When successful, the installer does some special things on Windows:
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.
fc-cache may fail during or after installation on Windows (we have been unable to find the cause, please report any clues and especially patches). Running fc-cache -v -r from the command prompt may solve it. fc-cache is needed for XeTeX to access Windows system fonts.
Finally, under Windows 2000, the installer may fail to open in GUI mode (again we have been unable to find the cause). An alternative is to install in text mode, e.g., d:\install-tl -no-gui.