Download ethereum https://geth.ethereum.org/downloads/

install it, on a command prompt go to C:\Program Files\Geth

trype: geth account new and chose a password.

Then type ( if it is your first time)
geth --rpc --fast --cache=1024

or just 

geth --rpc to run a ethereum server

Download the wallet so you have a visual of who much of the block chain you have downloaded and manage your accounts easier. 

https://github.com/ethereum/mist/releases

the main ethereum database will be located at

C:\Users\YourPC\AppData\Roaming\Ethereum

and you accounts in the keystor folder. Keep them backed up!