Download emacs-w64 and extract somewhere, e.g. a tools or apps folder like C:\Users\<user>\tools\emacs.
Emacs and many other applications store its configuration in the user's "home" folder. Translated directly from the Unix world, that is %UserProfile% (C:\Users\<user>), but Windows prefers %AppData% instead (C:\Users\<user>\AppData\Roaming).
For simplicity's sake, override this by specifying the HOME environment variable explicitly. Emacs and some other applications (e.g. MinGW) lets this override the default.