First download the MongoDB binaries from the following site - http://www.mongodb.org/downloads and unzip the downloaded binaries to a folder of your choice. Now you have to create a folder where MongoDB can store the data. This won't be created automatically.
Execute the following command in your shell:
C:\> mkdir \data
C:\> mkdir \data\db
At the last step, lets run MongoDB. Navigate to your MongoDB folder and execute the mongod.exe:
C:\> cd \my_mongo_dir\bin
C:\my_mongo_dir\bin>mongod
Now we are ready to start. If you want to open the shell admin console, use the following command:
C:\my_mongo_dir\bin>mongo
You can also use the web-based admin console - http://localhost:28017/
A detailed guide can be find on the following site -http://www.mongodb.org/display/DOCS/Quickstart+Windows