The KDE on Windows Initiative is an ongoing project to port the KDE applications to MS Windows.
The preferred method for installing most KDE applications under Windows is the KDE-Installer. However, the most recent version available from the installer is KDE 4.10.2. Many KDE applications have since been ported to the more modern "KDE Frameworks / KF5" libraries, and some have started providing Windows installers. Due to the more modular nature of KDE Frameworks, there is no single installer for these applications. Rather, please refer to the website of the application(s) you wish to install or check the instructions on building KDE on Windows from source.