Update: See Randy Fay's Cygwin quickstart tutorial, http://randyfay.com/node/70
Many Drupal things are best done in a UNIX-like environment. One solution is to run a Linux distribution like Ubuntu in a virtual machine, as is provided by http://drupal.org/project/quickstart. Another solution (on Microsoft Windows) is Cygwin, to bring the power of the UNIX command line to Windows.
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