The "where to get it" has already been mentioned, including the Cygwin
site. Although not completely necessary for running emacs under Windoze, I
would strongly recommend installing Cygwin. Then set any and all needed
Windoze environment variables, start Cygwin and then start emacs. There are
some modes, such as ediff-directories, which are broken when emacs is run
directly under Windoze. They seem to work much better under Cygwin.