The official website states that you need to download Emacs from a nearby GNU mirror. However, this does not install gnutls, which is required for installing packages from melpa or marmalade. The documentation says that this can be obtained from ezwinports.
However, I have found that this does not work any more: As of Emacs 25, Emacs is available in 64 bit, but ezwinport only supplies 32 bit binaries. I had to search a bit, but the (in retrospect, obvious) solution is to download the required binaries from GnuTLS's website, directly. Then unpack all
*.dll from the
bin directory to your Emacs's
bin directory, and you are good to go.
This situation is really a bit sad. Installing Emacs should not be this hard. But there is talk about providing a Windows installer for Emacs in one of the next versions, which will hopefully fix these issues.