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
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.
the main ethereum database will be located at
and you accounts in the keystor folder. Keep them backed up!