GNU Emacs is cross-platform, so you can download it for Windows from ftp.gnu.org/gnu/emacs/windows/emacs-23.3-bin-i386.zip. If you need an archive application to unzip that file, download and install 7-zip as well.
After you download and unzip Emacs, you can launch it from the Emacs directory. I do not know how to get it into your Start Menu because I have never actually used Windows (if you are an experienced Emacs-on-Windows user and would like to write a tutorial on how to do this, please contact the screenwriter-mode project).
You should launch emacs once before configuring it for screenwriter-mode.
The location of your Emacs init files depends on
the HOME variable. To learn the value of
this variable, open a command prompt and type:
echo %HOME%
The result should either be C:\
or C:\Users\epich\AppData\Roaming\.
If it has not already been created for you when you first launched
emacs, create a .emacs file and a .emacs.d
directory in your %HOME% location.
From here on, setting up and running screenwriter-mode in Emacs should be the same as running it on a free and open source OS, like Linux.