On the PHP on Windows site (a part of DZone.com) Svetoslav Marinov has a quick new post looking at how you can set up your Windows PHP installation to be able to send emails similar to its linux cousins.
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.