This is how to install the PLEX Media Server on Windows Systems, first goto the following url: http://www.plexapp.com/getplex/ then click on the windows button and then two more buttons should appears click on the top one as indicated below.
You will be asked to save the server install file, when saved run that file and you will be presented with the following screen.
Click next to continue.
Leave the destination folder as is and click next to continue.
Now click install to begin.
Wait for the install procedure to complete, when it has you will be presented with the following screen.
Make sure "Run Plex Media Server on exit" is selected, and click finish after a few seconds a new icon should appear in the running icons.
When it has appeared right click on it and a menu will appear as below.
Select "Media Manager..." as above and a webbrowser will appear like below.
Thats it, PLEX Media Server has been installed on Windows.