I found the easiest solution on Windows is to build from source.
You can pretty much follow this guide: http://spark.apache.org/docs/latest/building-spark.html
Download and install Maven, and set MAVEN_OPTS
to the value specified in the guide.
But if you're just playing around with Spark, and don't actually need it to run on Windows for any other reason that your own machine is running Windows, I'd strongly suggest you install Spark on a linux virtual machine. The simplest way to get started probably is to download the ready-made images made by Cloudera or Hortonworks, and either use the bundled version of Spark, or install your own from source or the compiled binaries you can get from the spark website.