Using the following steps one can setup vim/gvim to run on windows.
1) Add the following new variable VIM on your system. Example: VIM=C:\apps\vim\vim73 (Where C:\apps\vim\vim73 is where vim/gvim is installed)
2) Copy the file %VIM%\vimrc_example.vim as _vimrc in %VIM% folder
3) Add the following 2 lines at the end in %VIM%\_vimrc so it sets up vim for windows