In TeX Live 2008, the same installer is used for Windows as for other platforms. See the general documentation. Before running the installer on Windows, be sure to remove any previous TeX binary directory from your PATH (whether for TL or MiKTeX or another distribution), and also remove any other TeX-related environment variables. Otherwise, you may have VM usage problems, or run into cases where a program from the wrong distribution is called.
When successful, the installer does some special things on Windows:
Multiple TeX distributions: only one TeX distribution can be active at a time, because all the TeX distributions use the search path to find their programs. This means that to switch from one TeX to another, e.g., between TeX Live and MiKTeX if you have both installed, you must (at least) change the search path.
DVI viewing: the dviout program has been integrated in TeX Live. It didn't make it in time for the TeX Collection DVD, but you will get it as part of a net install and as an update. If all else fails, there is a copy in the support/dviout/ subdirectory.
Administrator privileges on Vista: even when running as administrator, if you want to install for all users, right-click install-tl.bat and select ‘Run as administrator’.
The original version of fc-cache distributed on the TeX Collection DVD may fail during or after installation on Windows. You can get an improved version by updating the xetex package. Otherwise, running fc-cache -v -r from the command prompt may solve it. (fc-cache is needed for XeTeX to access Windows system fonts.)
Finally, under Windows 2000, the installer may fail to open in GUI mode (again we have been unable to find the cause). An alternative is to install in text mode, e.g., d:\install-tl -no-gui.