Thought about a complete package from apache friends? There you got XAMPP for Windows and a Beta for Vista. It is running out of the box and is a good solution for testing.
Maybe slightly off topic, but... I would recommend linux virtual machine running under WinXP. Much easier to setup a good development environment. I've tried running eZ publish under XP, nothing ever went smooth...
Have you tried like Piotrek Karas says virtual machines under XP? I have good experience with http://www.vmware.com/products/free_virtualization.html linux images