ARM provides .exe installers for Windows. Grab one from here, and follow the instructions. Just before the installation process finishes tick/select the "Add path to environment variable" option. Then verify that the tools are in your %PATH%:

$ arm-none-eabi-gdb -v
GNU gdb (GNU Tools for Arm Embedded Processors 7-2018-q2-update) 8.1.0.20180315-git
(..)

There's no official binary release of OpenOCD for Windows but if you're not in the mood to compile it yourself, the xPack project provides a binary distribution, here. Follow the provided installation instructions. Then update your %PATH% environment variable to include the path where the binaries were installed. (C:\Users\USERNAME\AppData\Roaming\xPacks\@xpack-dev-tools\openocd\0.10.0-13.1\.content\bin\, if you've been using the easy install)

Verify that OpenOCD is in your %PATH% with:

$ openocd -v
Open On-Chip Debugger 0.10.0
(..)

Grab QEMU from the official website.

You'll also need to install this USB driver or OpenOCD won't work. Follow the installer instructions and make sure you install the right version (32-bit or 64-bit) of the driver.

That's all! Go to the next section.