For windows the easiest way is to unzip the windows nightly build into C: to get a complete c:\z88dk tree that includes binaries and pre-compiled z80 libraries.
Doing this does not set up environment variables for you, which is the reason for running a batch file from a command prompt window prior to compilation. You can add a batch file "init.bat" to c:\z88dk and run it once each time you open a command prompt to set up those environment variables:
"c:\z88dk\init.bat"
set path=%path%;c:\z88dk\bin
set Z80_OZFILES=c:\z88dk\Lib\
set ZCCCFG=c:\z88dk\Lib\Config\
Note: You may want to add "c:\gnu" to the path if you install gnu unix tools in c:\gnu but this is only necessary to make the z80 libraries from scratch, something that is done for you by the nightly build.
The nightly build is a snapshot of the latest cvs repository. You can update when a change occurs by repeating the procedure, unzipping into c:\ and overwriting the c:\z88dk tree. I'd recommend making a copy of your work directory before doing this if that sits in a c:\z88dk subdirectory.
What I do is set up a work directory in c:\z88dk\work and edit my programs there. I open a command prompt window, cd to c:\z88dk, run init.bat to set up the env vars, then cd to c:\z88dk\work. To compile just run "zcc ..." there and use the up arrow to re-run the last compile command each time changes to the program are made. For a more complicated project, you might want to set up a makefile or a batch program to assemble various pieces but most of the time you don't need that.
The nightly build must be installed into c:\z88dk, the reason being there are config files that contain absolute path information in them. The config files describe for each target machine which versions of the library code to use. The latest stable build is available as a windows installer and this creates the config files with correct path information for you so that z88dk can be installed anywhere. However, as Timmy points out, the last stable build is quite old now so I wouldn't recommend using that for now. We probably should release more often to keep the installer option more current. z88dk is undergoing quite a bit of development right now, whether that be new targets in the past year, new c libs or updates to the assembler + compiler so (at least) I have preferred the nightly build method for installing recently.
I do agree that the wiki needs to be updated with better information on getting the tools running, how things work, etc. It's something on the to-do list for me, but I always planned to do that in conjunction with a new c lib option and optional sdcc c compilation, which is coming soon. I promise

just work is getting in the way the past couple of weeks.