OK here's where things get a bit tricky for our windows friends.
Jekyll is static site generator. It takes markdown files and templates and generates a static html site.
It's written in Ruby (an excelent language). You don't need to be able to write ruby code, but you do need to have ruby installed on your machine. Trying to develop anything with Ruby on a windows machine is a waste of time.
For anyone still running Windows, please click here :-).
For everyone else, let's pop over to the Jekyll site and read the docs.