I do believe he's talking about the tutorials starting here. And I suspect the exe he's talking about is the usual windows installer exe.
The current support is mostly there for linux developers who need to develop the odd simple program on windows (usually for monitoring, test purposes or debugging).
We're working on a more native implementation but it will never be as feature complete as ros elsewhere. If you only want to write simple programs, or algorithms with few dependencies, thats ok. But without a good software ecosystem (rosdeps/repositories/build environment), you'll never be able to build a complicated robot system very easily on windows.
Putting together complex systems is one of the biggest strengths of ros, and it loses that when it goes back to windows. Its hard converting (some of the windows devs Ive brought across to linux usually take at least six months to really reinvent their thinking), but the benefits are worth it.