You'll need a server that you can use SMTP on to send the emails to, but outside of that, the setup is pretty painless. He recommends using the sendmail for Windows tool to do the backend lifting. He includes the settings, both for sendmail and PHP, and configuration changes you'll need to get it all working too.

He points to the mail manual page to grab a simple result for testing the install.

Previously it was a simple trek to a website to download a Windows build of sendmail.exe, but for some reason I cannot get access to it, so I have to go another route. Enter hMailServer, a free, full-featured SMTP/POP/IMAP server for Windows with a pretty, shiny GUI configuration interface. All I really want to do is setup SMTP for localhost only but one could easily use hMailServer as a production mail server.

He includes the details (along with some screenshots) to get the hMainServer software up and running. Thanks to the simple GUI the tool offers you can be up and working in a few clicks - oh, and a change to your php.ini file.