You'll find the links from atcroft very helpful, but here's a couple of other Windows tips I use.
Instead of installing Vim in Windows, I tend to use it via PortableApps, which I keep in my dropbox folder. Since this doesn't afford the "Edit in vim" menu option, I just put a shortcut to it in my Send To folder to make it easier to access.
Another thing I do to allow me to use the same vimrc file that I use on other operating systems, I do things like this:
Then I sort of switch between perls later in the config:
" perform a perl -c when writing a perl buffer
if g:perlbrew == 1
au BufWritePost *.pl,*.pm !/home/aharrison/.vimrc.perl -c "%"
elseif g:usrbinperl == 1
au BufWritePost *.pl,*.pm !/usr/bin/perl -c "%"
elseif g:usrlocalbinperl == 1
au BufWritePost *.pl,*.pm !/usr/local/bin/perl -c "%"
elseif g:mcappsperlbrew == 1
au BufWritePost *.pl,*.pm !/mc/apps/perl/current/bin/perl -c "%"
au BufWritePost *.pl,*.pm !perl -c "%"
Other than the vimrc, I don't keep my Windows environment synced with my non-windows environment. Many of my plugins are either not geared towards Windows, or I simply don't care to use them under Windows, so I tend to block them out in my vimrc by wrapping chunks of it in blocks with if !has("win32") or if has("gui_win32").
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