*This works on my machine. In no way do I know what I am doing. Please post questions to http://stackoverflow.com.
Initial Solr Setup
Install the latest Java JDK from http://www.oracle.com/technetwork/java/javase/downloads/index.html. Make sure to select 64bit version if you need it.
Download Solr 1.4.1 from one of the mirrors at http://www.apache.org/dyn/closer.cgi/lucene/solr/ (at the time of writing, not all mirrors seem to be hosting 1.4.1, but most seem to have at least 1.4.0)
Unzip the Solr download. You should have the files listed in the image below. Open the example folder.
Copy the etc, lib, logs, solr, webapps, and start.jar folders to C:\solr (you will need to create the folder at C:\solr)
Now open the C:\solr\solr folder and copy the contents back to the root C:\solr folder. When you are done you can delete the C:\solr\solr folder.