Open Command promt. Do this by using Cortana: Search for cmd.exe. Right click on the search result and select "run as admin".
Command prompt should be in C:\Users\MyUserName\
Type in cd.. -> Enter
-> cd.. -> Enter Now you are at C:\ Type in cd context
You are now at C:\context
Tpe in <tt>first-setup.bat</tt> -> Enter.
This should print out much output and take a while (5 mins).
Check if there is a folder C:\context\tex
If no such folder has been created, this step failed. (It failed for me using <tt>C:\Programme\context</tt> and I resolved it by using <tt>C:\context\</tt>