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-gcc -v
(..)
gcc version 5.4.1 20160919 (release) (..)

There's no official binary release of OpenOCD for Windows but there are unofficial releases available here. Grab the 0.10.x zipfile and extract it somewhere in your drive (I recommend C:\OpenOCD but with the drive letter that makes sense to you) then update your %PATH% environment variable to include the following path: C:\OpenOCD\bin (or the path that you used before).

Verify that OpenOCD is in yout %PATH% with:

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

Download the latest putty.exe from this site and place it somewhere in your %PATH%.

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 (32-bit or 64-bit) version of the driver.

That's all! Go to the next section.