The basic development environment for OCaml on Windows can be found from the INRIA Caml home page (follow the link to the latest version, and you'll find pre-compiled binaries for Windows).
There are two versions of OCaml for Windows. One has been compiled using MS Visual C++, and the other with Cygwin. Choose the most familiar for you - if you have used Cygwin before, then try that, otherwise go for the MS VC version.
