Update: This was written when cygwin was the only way to get octave, however now a native binary exists on sourceforge (octave.sourceforge.net). However if you want to get g77, and other excellent Unix packages you will still need cygwin (though you might be able to find binaries for them as well).
To get octave onto a PC you will need to download cygwin. I give a step-by-step picture tutorial here.
You could avoid all this hassle by getting a Unix-type box: Linux, Mac OS X, or Solaris
Step 1: Go to the cygwin web site (www.cygwin.com) and press "Install Cygwin Now"
Step 2: Save setup.exe as shown.
Step 3: Run setup.exe like you would normally run for other PC installation software.
Step 4: Get cygwin from the internet (if you already have it then select install from local directory).
Step 5: Chose from a North American mirror site (just chose one, not all!)
Step 6: Pick the directory you wish to install the software in
Step 7: Select a directory for cygwin to install various packages (octave, g77, etc.) for installation
I changed my location, you can chose default if you wish: This is really up to you, not me.
Step 8: Select your packages (octave, g77, etc.). Note you can always go back and get more if you forget to get something the first time
Step 9: Install (go for it!)