You can use pip-win now to set up sphinx in a virtualenv on windows easily.
First, download and install Python. If you want to use the latexpdf builder you will also need to install either TeX Live or MiKTeX for windows.
Next, run the pip-win.exe. It will automatically pull the required setuptools required and install pip and virtualenv on your system. When loaded it will pull up the Python you just installed, but if you installed it in a location other than default directory you can easily enter the absolute path or browse for it.
Next, in the Command: line you can create a new virtualenv by inputing:
venv -c C:\foo\sphinx-venv
This will open a command prompt with you inside your virtualenv. Following this you can install sphinx with the pip command:
<sphinx-venv> C:\foo\> pip install sphinx
Now sphinx is installed on your windows machine in a virtual enviroment. You can use deactivate to escape your new environment.
When ever you wish to enter your virtualenv again to build more sphinx projects you can either open pip-win and run:
venv C:\foo\sphinx-venv
Or you can create a custom python file to activate your sphinx environment and build your sphinx file such as:
import os
os.system("cmd /c \"CALL C:\\foo\\sphinx-venv\\Scripts\\activate.bat && make html\"")