Windows is now well-supported by Nmap. Please read the Windows section of the Install Guide for limitations and installation instructions for the Windows version of Nmap. You can choose from a self-installer (includes dependencies and also the Zenmap GUI) or the much smaller command-line zip file version.
The Nmap executable Windows installer can handle WinPcap installation, registry performance tweaks, and decompressing the executables and data files into your preferred location.