The same TeX Live installer is used for Windows as for other platforms, so the general documentation applies.
When successful, the installer does some special things on Windows:
If you want to share a TeX Live installation among several Windows machines, see the w32client information.
It is especially important to be careful when processing untrusted documents on Windows, because in general Windows finds programs in the current directory before anything else, regardless of the search path. This opens up a wide variety of possible attacks.
Thus, we recommend checking for suspicious files in the current directory, especially executables (binaries or scripts). Ordinarily they should not be present, and definitely should not normally be created by merely processing a document.
Although the core TeX programs are robust, to the best of our knowledge, third-party programs may not reach the same level. For maximum safety, we recommend using a new subdirectory for processing.
Multiple TeX distributions: only one TeX distribution can be active at a time, because all the TeX distributions use the search path to find their programs. This means that to switch from one TeX to another, e.g., between TeX Live and MiKTeX if you have both installed, you must (at least) change the search path.
Administrator privileges on Vista and Windows 7: even when running as administrator, if you want to install for all users, right-click install-tl.bat and select ‘Run as administrator’. The same is needed when running tlmgr (TeX Live Package Manager).