EDIT: The Numpy project now provides pre-compiled packages in the wheel format (package format enabling compiled code as binary in packages), so the installation is now as easy as with other packages.
Numpy (as also some other packages like Scipy, Pandas etc.) includes lot's of C-, Cython, and Fortran code that needs to be compiled properly, before you can use it. This is, btw, also the reason why these Python-packages provide such fast Linear Algebra.
To get precompiled packages for Windows, have a look at Gohlke's Unofficial Windows Binaries or use a distribution like Winpython (just works) or Anaconda (more complex) which provide an entire preconfigured environment with lots of packages from the scientific python stack.