Grab the python installer from http://www.python.org/download/. Make sure you download a 2.x version. Version 3 is backwards incompatible and Django will not work under it.
Grab the setup tools installer from http://pypi.python.org/pypi/setuptools and run it.
Open the control panel, and select System, select the advanced tab and click on the Environment Variables button. You should see a variable named PATH (case is not important). If it's not there you can create it. Add the root folder of your python install (usually C:\python26) and the scripts folder (C:\python26\script). Use a semi colon ( ; ) to separate the values. Save and quit.
Open a command prompt and use easy_install to install the required dependencies and some extra stuff that will help you out during development:
Optionally, you can forget the db adapter step if you plan to use SQLite, which I would recommend since it is very easy to create/delete/switch databases.
If you are planning to use either MySQL or PostgreSQL, you'll need to download and install the respective server. Grab the installers from:
MySQL - http://dev.mysql.com/downloads/mysql/
Postgres - http://www.postgresql.org/download/windows
Install them according to the respective documentation, and create an empty database.
Grab the svn installer from http://subversion.apache.org/packages.html. Install it and checkout the OSQA sources onto your workspace:
Get into the OSQQA sources folder. Rename the file settings_local.py.dist to settings_local.py, and open it for edition. Find the database settings and edit them accordingly.
Open a shell, get into the OSQA source and run:
When prompted to create a user, ignore it.
Visit http://127.0.0.1:8000/ on your browser and you should see an happy working OSQA install.