If you use windows, install codeblocks and set gcc folder to your path (easier than installing gcc yourself) and follow instructions like usual.
You don't need the ./ syntax on windows:
$ git clone git://github.com/Araq/Nim.git
$ cd Nim
$ git clone --depth 1 git://github.com/nim-lang/csources
$ cd csources && build.bat
$ cd ..
$ bin/nim.exe c koch
$ koch boot -d:release
Edit: Correction, windows treats executable's differently, updated my post to be more clear and cause less confusion.