For those bound to Windows, GNU Emacs 23.4.1 (i386-mingw-nt6.0.6002) provides a current version with an installer as part of the DL---actually the installer is the initial DL, the rest is done as part of the install. In so far as I can tell comparing Unix version(s) with the Windows version there doesn't appear to be any difference in ability or performance. The http://www.gnu.org/software/emacs/windows/big.html does a reasonable job of covering the water front for better information than mine.
Thanks for the tip. Where did you get this installer from? I just installed emacs-23.4-bin-i386.zip from http://ftp.gnu.org/pub/gnu/emacs/windows/ on a Windows VM, and it's a plain zipfile you extract to C:\Program Files (and optionally run addpm.exe for start menu shortcuts) and it just works -- except for things like grep, which require cygwin or equivalent.
Did your installer also install the cygwin (or equivalent) tools?