As an optional step for Windows users, you can install TortoiseGit. msysGit already adds context (right click) menus for some Git features, but TortoiseGit provides a menu of nice GUI helpers for most important operations. It's not necessary, but it can show you some information quickly, and save some typing.
First, visit tortoisegit.org. This will redirect you to the project's current home page. (At the time of this writing, they're hosted by Google Code, but that will probably change in the near future.) Look for a "Download TortoiseGit" link, and from that page, get the appropriate version (32 or 64 bit) for your machine.
Run the installer, and click through the usual setup wizard. As with msysGit, default choices should be safe.
Next, check that TortoiseGit is installed. Start by right-clicking on the desktop and making a new folder called something like "project" (you should already see some TortoiseGit options in the context menu):
Next, open the folder and right-click inside the window, then click "Git Create repository here...":
You'll get a couple of dialogs. Just press OK:
Now you should be able to right-click and see the full menu of TortoiseGit commands:
Don't worry if it looks complicated - most of the time you'll only use a handful of those commands.