Git is my favourite VCS and one of the disadvantages commonly heard is lack of windows support, Git is extremely fast but only on POSIX operating systems. The official way of using Git on windows is by installing it via Cygwin.
Even though it’s not a final product I decided to try msysgit (version 1.5.4-rc1-preview20071221). It’s very easy to install and use and it also installs bash along with other nix tools. It’s not as fast as the linux version but it cloned the kernel tree pretty quick. Even git-gui and gitk work perfectly. If you need to use windows then you should give msysgit a try.