The Windows download for KDE is not very obvious on the main KDE
download page. It is not clear if this is deliberate, since it is
still unstable, but the Windows installer for KDE is actually
available on the KDE website. Download the .exe file and save it.
Double-click it to run the installer, just as you would for any
other Windows program.
"At this point you have only downloaded the small installation
file and not the actual KDE packages. Therefore, select the first
option in the installation window "Install from Internet". The next
screen will present you with several options about how to install
KDE. Unless you are a developer or have some specific reason to
choose the other options, just choose "End User". This will install
the binary packages for KDE, whereas the other options all require
you to compile KDE from source."