OLA on Windows with VMWare
Setting up the Linux System
This is based on these excellent instructions. The instructions are for Windows 7, but work fine on XP as well.
Download & Install VMWare Player
Download the free VMWare Player. You'll need to complete the survey and provide an email address. Install this on your windows machine. Reboot.
Download a Linux Distribution
I recommend Ubuntu. It's fairly easy to use and stays up to date. Get the latest version from here. Once this is done you should have an .iso file which will be around 600MB.
Setup a New Virtual Machine
Open VMWare Player, select "Create New Virtual Machine". Choose "Installer Disk Image" and point to the Linux .iso file you downloaded.